The majority of these result from explicitly setting a preferred identifier, which orphans the old FactType/ValueType pair. I also change the default in the Tools/Options/ORM Designer page so Delete deletes the underlying object and Ctrl-Delete deletes the shape (see the Delete Key Behavior option).
The easiest way to see these is to scan the ObjectTypes in the ORM Model with the ORM Context Window open. If an ObjectType appears unattached and without an Independent set then it is likely an orphan. You can verify this by seeing if the 'Select on Diagram' menu is available from the model browser.
First, delete the Object Types, then open the Error List (View\Error List) and double click errors resulting in 'requires a role player'. This will select the Role in the model browser, activate the Properties Window, and open the Role Player picker. Probably a bit more than you want, but at least it finds the FactType for you. You can also scan the FactType list for names containing [Missing] and delete them directly.
Obviously, we need to work more on this scenario. It isn't a completely trivial problem because of the collapsed and implied FactTypes/ObjectTypes/Constraints in the model.