OOTB Repeat Grid "Delete" link is in section 'pzPegaDefaultGridIcons' which is available for customers to do customization (add a click event local action to launch a modal window for the WARNING message).
If the "Delete" is your own customized button or link, the same action can be applied.
Modal dialog can be closed on open of another modal dialog, and same way we can close the new modal dialog on submit and open old modal dialog again back with updated values. But only think issue is we can't open two modal dialog at same time it can switched as the context.
I observed that there is a new feature in which showConfirmation for list delete item. You can try and check if that helps. Locally I did not see it work in the modal at least, need to analyze more
For the earlier suggestion, I tried to do a mock up, here are the details :
add Script to userWorkForm - which will display the alert message. I think the activity to be called is reload section with the preActivity pzGridAction with the delete (you can figure this from the Fiddler trace)
Sorry for the delay in getting back to you. I tried an alternate approach by using the "When" condition and associating it with the "Delete list item" action. I was not able to get it to work. I'll try another approach and update here if successful
Following with the approach mentioned by Krithiga, a little change would suffice. In UserWorkForm HTML Fragment use below source, On the Icon(deleteItem) place Run Script and DeleteItem actions. Please check if this would satisfy the requirement. Thanks.