1. Delete or shift+delete are the same - it's an external device, so nothing goes to the recycle bin, it's just deleted.
2. If it's in internal storage, the phone has to be rooted. (You
can not recover deleted files from the internal storage of unrooted phones.) Then you install a deleted file recovery app (I don't know of any free ones, unless if's a picture file, then the free version of
DiskDigger undelete (root) will recover it). Or, if you can image the userdata partition of the phone (see
munky-tool thread) you can run
PhotoRec on the image file and recover everything recoverable on it.
3. Backed up files that get accidentally deleted are no problem, so back up anything that would be a problem if it got deleted.