I'm going to guess you are trying to delete the roto in your Modeling Window?
Wherever you are trying to delete it... ignore that for now (but that would be good information for us to have here).
Locate the Rotoscope in the Project Workspace (PWS) listing and delete it there by either Right Click or Delete Key.
The Active window is usually not the best place to delete things because A:M is trying its best to keep you from accidentally deleting things you've worked hard to create.
(It's funny... I woke up this morning thinking that we need to replace all Delete keys (in the world) with Remove keys. Deleting would presumbably only happen after a great deal of hassle and even then only with clear evidence of a proper authority to proceed. The essential idea being that we often want to remove things but that does not mean we want to actually delete them.