Hi Pham Minh Chau,
You could have the checkbox being a Boolean attribute in your datagrid entity. When you check the checkboxes, the value of the checkbox boolean becomes true. When you eventually press the delete button, you call a microflow that deletes all the entities with checkbox true.
Hope this will help you toward you goal. Good luck,
Jan
Attention, searchers, with the latest data widget update , mendix released this feature. Header level actions.