Select the scene you want to delete. Go to the scene menu and turn off all memory buttons at the top. Then save this [SHIFT]+[SCENE BUTTON] with all memory turned off. This should "delete" the scene (turn the LED off).

After you've fixed that - make sure you [STORE] the entire Performance since SHIFT+SCENE doesn't update the Performance saved in User memory.

So, I had the same problem. I tried what Jason recommended but got different results.

I turned off all the memory buttons, hit [SHIFT]+the same scene button that I just turned off all the memory buttons and it turned all of them back on and saved it.

If I turn off all the memory buttons for, say, scene 1 and then hit [SHIFT]+[SCENE 2] it then "deletes" scene 1 but then has scene 2 with all the memory buttons turned on.

What am I missing here?

I turned off all the memory buttons, hit [SHIFT]+the same scene button that I just turned off all the memory buttons and it turned all of them back on and saved it.

A test on an M8X confirms that if all memory buttons are OFF using '[SHIFT] scene button' turns them all ON.

What am I missing here?

I don't think you are missing anything. That may be a 'feature' or could be a 'bug'. Only Yamaha knows. You might use the 'Contact Us' link at the bottom right of this page to send an email to Yamaha Support asking them to clarify if this is the intended behaviour.

To clear a scene just set all the memory switches to OFF and then use STORE to save the performance if you want it saved that way.

Scene lights:

UNLIT - this is NOT the selected scene and ALL memory switches are set to OFF

DIM BLUE - this is NOT the selected scene and at least ONE memory switch is set to ON

BRIGHT BLUE - this IS the selected scene but does NOT indicate the state of any memory switches

NOTE: There is ALWAYS a selected scene whose button will be BRIGHT BLUE. That does NOT mean that the scene has any memory switches set to ON.