Currently the only way to delete a segment is with the undo feature while drawing the room. Once the room has been drawn however, there is no way to delete a segment. You can undo as many points as you want to get back to the segment you wish to edit. You can also edit a segment or point by pressing and holding while hovering over it.
You can also delete any structure you have drawn, such as a window or island at any time. Just hover over the structure and select the trashcan button.