There are currently two ways to remove a clip from the timeline. The first way is to select the clip or clips that you want to delete, and to press delete.
The second way is to select the clips that you want to delete, and to drag them away from the timeline. As soon as the clips leave the timeline, they will disappear.
It not yet decided if this behaviour is a good thing or a bad thing. It may be removed in later versions of Kdenlive. You have been warned!