When you open Users->User Role Editor under the network admin it is opened for the main site. All roles and other data is related to the main site there.
You will never see “Tools->Delete site” menu item for the main site, as it’s not possible to delete main site. This menu item is for the subsites only. Thus you can not block it via main site admin menu.
Interesting, that if you open URE’s “Admin menu” dialog from the main site, not from the network admin, you will see “Mailgun” menus under the “Settings” menu. It may be related to a way, how plugin registers its menu, I suppose.
You need to know that when you modify role or available add-ons permissions via network admin, you make this for the main site only. You need to click “Update Network” button to replicate your settings from the main site to all other subsites. Unfortunately, this will not work for the “Tools->Delete site” menu item. It requires manual blocking for every subsite.
From other side, any settings you manually made for subsites are untouched until you don’t click “Update Network” from the network admin.