We're looking at deletion as part of controlling sensitive data on the SFTP. Do you have access to a safehouse as a file transfer solution? If not, you may need to create one (thanks Eliot Harper for the writeup)
If so, you can add a step to the end of your import automation workflow to move to the Safehouse. Files within a safehouse have a 21 day retention policy applied to them.
TL;DR: Move the files to a safehouse where they'll be deleted after 21 days.
Details on safehouses:
https://help.salesforce.com/articleView?id=mc_overview_file_locations.htm&type=5
Creating a Safehouse:
The Safehouse file location is not created by default. If you do not have this in Email app > Admin > Data Management > File Locations, create one named 'Safehouse' and set the Location Type to 'Safehouse'.
SFMC Safehouse Retention Policy
Creating a safehouse location allows you to import decrypted files into the Salesforce Marketing Cloud without them being exposed in the Enhanced FTP Site Import directory. Only authenticated users can access safehouse locations, which reside on highly redundant, highly available central storage servers. Data retention policies default to retaining files for 21 days before deletion.