A venue in use cannot be deleted
The list counts the events using each venue, and deleting is refused while that count is above zero - the events would lose their address. Edit the venue instead, or move the events to another one first.
A venue is a saved address with an optional pair of coordinates. Events point at one rather than repeating the address, so fixing a typo once fixes it on every event held there.
Venues under Content is the list, with the plus in the last column header to add one. You rarely need to go there first, though: the venue selector on the event form ends in "+ Add new venue", which opens a dialog and saves you the round trip. The list shows how many events use each venue, which is also why a venue in use cannot be deleted.
Open the Venue dropdown
On the event form. The last entry is "+ Add new venue" rather than a venue.
Fill in the dialog
Name and address. The dialog is the same set of fields as the full form, in a smaller frame.
Apply
The venue is saved and selected on the event form straight away. Nothing you had already typed into the event form is lost.