AFAIK watermarks are only applied to Exported images. So you still have the original image which should also included any and all edits you have done on those images.
You'll just have to Delete the exported images that have the watermark and Re-Export the originals or just Re-Export the originals with a added character to the name. LR will kind of do that all by itself, and or ask you if you want to or overwrite the one already in the folder.
All you are doing in the Watermark dialog is deleting, or trying to delete, Watermarks "Available" to be placed on an image.
If these are not your images and you didn't originally place the watermark on these images then the watermarks are there for a reason.
The watermark is now PART of the image. It is not something that can be removed once placed. It's like the subject holding up a sign, or a sign in the background/foreground of the image you took with your camera.
Thank you so much for the very useful info. I'm going through those aggravating photos (my own ignorance) now and locating the originals, they have no watermarks, and I'm on my way! _Ngolo