I am among the many other users who wish this was an option. Right now the workaround (which is tedius, but the only option at the moment) is to (using your example):
- clone the event series
- change the end date of the original version to Tuesday
- change the start date of the cloned event series, to the first date of the rest of the series (Thursday)
- thus removing that specific Wednesday from the series
You may have already figured this out of course. Hopefully a fix for this will be coming soon!