Navigate to the On Demand page. Use the down button on your remote control to naviate to the bottom of the page. You will find the My Playlist section with the saved videos there. Select a video you want to delete and open it fullscreen.

From the Fullscreen video view, select the "Added to Playlist" button on the video player control and press OK. This will remove the video from My Playlist. If the Notifications are turned ON, you will receive the notification "The video has been removed from your playlist".