From the DropDown where you select the Watermark (your screen shot) choose Edit Watermarks to open the Watermark Editor. From the DropDown in the upper left corner select the Watermark you'd like to delete. Click on the DropDown again and yo'll find (at the bottom of the list) Delete preset "your watermark name...", click on it and you're done.
Please note that the Watermark is gone for good, not only for the Export, and will also not show up again in all other places where you use Watermarks.
There is also a fast way to delete watermarks in bulk. Via LR's Preferences, Presets, click the button to go to the Presets folder, and in there is a Watermarks subfolder. You can delete items from here, and they'll be gone when you restart Lr.
Gotcha! Thanks your guys a lot, both answers is very useful.