Before deleting HoI4, you need to go to the file Explorer, go through these files
C:\Users\Documents\Paradox Interactive\Hearts of Iron IV and after you found it, you will need to remove HoI4 from the steam and after you remove the game from the steam, you need the hearts of Iron IV folder (which was mentioned earlier) also completely remove. Then you download the game in steam and all settings, saves, etc. will be reset.