You can only delete your exercise when there is no submission data associated with it (no Learner has started an Exercise by selecting Let's Get Started) or when it is not an active or upcoming exercise in an existing Group.
To delete your Exercise please do the following:
Go to the Library page. Select the downward facing arrow associated with the exercise you would like to delete.
From the drop down, select Delete on the bottom left-hand side.
Your exercise is now deleted.