There is no UI to perform this action but you can delete a component if it hasn't been instantiated in Main or in other components yet.
To do it you need to:
Go to the Library and click on the dotted icon next to the component's name, which appears when you hover over it, and click on "Show in Finder".
Delete the component's folder.
Go back to the Dashboard and re-open the project.
Tip: If you have instantiated the component, make sure to delete all instances of the component before trying this out.
Another thing you can try is to undo and redo the creation of a component.
To do so, after creating your component you can
cmd+z or use the top bar and select Edit > Undo.
Tip: You need to go to "Main" in order to be able to undo the creation of your component.