There are two key bindings for deletion in NORMA. By default, the delete key deletes the current shape and prompts you to delete the underlying element, and control-delete directly deletes the underlying element. For items that are parts of shapes (specifically roles and uniqueness constraints), delete does not bind to anything, so you need control-delete. You will also find corresponding delete commands on the context menu with any items selected.
You can change the default key bindings in the ORM Designer page of the Options dialog (available on the Tools menu in Visual Studio). The Delete Key Behavior option is in the Delete Behavior group.
Constraints can be placed in edit mode using the context menu or with a double-click. Click adds a role to the constraint or sequence, control-click deletes the role, and double-click on an included role completes the edit. You can see additional instructions in the tooltip available over an external constraint shape while the editor is active. There are also addtional commands on the highlighted roles with a constraint selected (for sequence deletion, activation, and reordering).