If you want to delete a device, you can right-click on the device name in the left window (the tree under "Home" and "MX-700") and pick "Delete" from the bottom of the menu that appears. That will eliminate the device entirely.

Think of macros as a single button that sends a series of commands for you. For example, if you wanted to turn on the OPPO, turn on the TV, set the 950 to the OPPO's input, you would create a macro that sends all of those commands. The surround mode selection is probably going to be too complex for a macro (too many different scenarios - Dolby Digital 2.0, DD 5.1, DTS, ...), but the 950 can remember your preferences and detect the bitstream properly without any input from the remote anyway. There are a few tricks to building good, reliable macros, which I'll try to jot down some notes on later.