Be aware that the Live Set has nothing to do with performance storage. Performances are stored in preset, user, or library memory - these are called "banks" in the [CATEGORY SEARCH]. The presets cannot be deleted - ever (although you can store presets in the Live Set). Libraries can potentially store many performances (I say potentially because you could have zero libraries = no performances, or you could have a single performance in a library = kind of a waste of the time to make the library - but it's possible). You can only delete these in whole-library increments. You cannot delete individual performances which are stored in libraries due to the way that memory works. User memory, you can delete one performance at a time as this memory is more flexible and, in one usage, user memory is to arrange data for promoting to a library.

Deleting of all data is done by starting with the [UTILITY] button. Under the menu -> submenu: "Contents" -> "Data Utility".

You will be presented with different categories of data/memory including Library and "Performance" (meaning user performances). If you touch "Performance" then you can one-by-one delete performances (more or less). If you want to delete all of your user performances at one time, there's a better way to accomplish this. You would again start with [UTILITY]. Next you would traverse to the menus "Settings" -> "System". The touchscreen option "Initialize User Data" will clear your user performances (all of them) along with other user content. See the reference manual for details. Do backup your user area before doing this unless you are okay with a no-save deletion (unimportant, already saved, etc).

The Live Set's purpose is not to STORE anything. It's a way to ORGANIZE your performances. A "set list" is a planned order that a band will play songs during a live performance. Category search doesn't allow arbitrary ordering or easy order changes while the set list does (or at least, is better equipped to do so). This is one function of the live set. The other "smaller" function of the set list is to customize volumes of each performance. You can override the volume of the performance. You can also have multiples of the same performance in your set list. Say you have a performance for "Lets stay together" you play as dinner music without vocals. Maybe you cover piano/strings/etc - and during the dinner music have the performance "Lets Stay" as your 1st song in the set list. Then you have a bunch more. And say you always play this same song during the 3rd set after the audience is more active - and with vocals - so you have a second "copy" of the performance, but boost the level by 20%. This can be done. You may also have reason to have a performance that is copied in order to boost the volume for a solo, or for whatever reason to override the volume.

Last, the live set has an extra 20 characters to label that live set entry. It's called a "slot name". So you could, in the above example, label the 1st "Lets Stay" with a slot name "Quiet Dinner Version" and the second one a slot name of "Louder Vocal Ver". Or you could put chord progression reminders or key signature or anything else in the extra 20 characters provided.

So to delete any performance, you're going to have to start by pressing [UTILITY]. Then go from there.