There are two options through which you can remove entities from your diagram:
Delete: the delete option will remove an entity from all the diagrams, and also from the database. Once you select it (select the entity/ies you want to remove and right click) a message will pop up telling you that a number of entities will be deleted from the database.
Release from diagram: this option (select the needed entity/ies > right click) will simply remove an entity from the diagram, but unlike 'delete' it will not remove it from the database.