Cannot delete a simple volume under Windows
The scenario
The scenario is that you try to delete a simple volume under Windows, for instance of a USB stick that you received and that you would like to fully set back. However, the Virtual Disk Manager tells you that the request is not supported. Unfortunately, Windows doesn't give any further information about what to do in that case.

Windows Disk Management

Delete simple volume
You get an error message

Virtual Disk Manager
The solution
Boot a Linux rescue CD, for instance Mariposa Rescue Disk, preferably using Ventoy.
Now try to delete the volume using GParted.

GParted
However, is this particular case, it is more likely that the device contains a 'vfat' signature, which GParted cannot handle.
In that case, open a terminal (still on the rescue CD) and enter the following command:
sudo fdisk /dev/sdf (replace with your device name)

The output of fdisk
Confirm the command with "write". Now, the volume should be deleted, which you can check with GParted.
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