Well, there's no 'delete' because the Scenes are laid out 16 per page. If you 'deleted' one, you'd have a hole in one of the grids. Instead, on the Fantom the equivalent is 'Initialize Scene':
Menu -> Scene Edit -> Utility (upper right corner) -> Scene Initialize -> OK
Then you need to write the Scene to make the changes permanent and erase the name:
Write -> Scene -> OK
It may seem like a lot of steps but it ensures you don't accidentally initialize a Scene you wanted to keep because there is no undo.
-Matt