There is no mis-information from my reply.
If you do use right-click it does remove the character from the sovereign choices screen.
But the file is still in documents/my games/fallenenchantress/units
That file didn't get deleted and if you create 100 sovereigns that folder can get cluttered. Go check it out yourself.
Also, if you create a custom faction and you wish to delete the faction you need to go to
and that is currently the only way to remove factions.