You can delete a set of array labels by selecting the set in the Array Labels dialog and pressing Delete Set….
Note, however, that this button will be grayed out if the set is being referenced somewhere in the model (you can not delete a set if it is referenced by an element). If a set is used in the model, the Show References… button will be available (otherwise, it is grayed out). Pressing this button displays a dialog that provides a list of all of the elements which reference the set, and allows you to edit or delete each element:
After selecting an element in this list, you can choose to either Delete or Edit it.