I think you have just confused syntax with INSERT 🙂 According to manual the DELETE syntax is:
DELETE [LOW_PRIORITY] [QUICK] [IGNORE] FROM tbl_name
[PARTITION (partition_name,...)]
[WHERE where_condition]
[ORDER BY ...]
[LIMIT row_count]
No VALUES
.
Rather than forming this query manually you should consider using $wpdb->delete()
helper.