You can't delete them from the Object List. It's just a list of things you've been adding to your level for ease of use to access them for repeated use. Deleting objects in MAX is done via the view port. However, sometimes things can get lost in the view port. There is a way to find those objects. First, click on the right-side arrow in the Level Objects panel to get a drop down and select Detailed Objects list:
Then you should see all of your objects displaying like this:
You can twirl-down each category and by clicking on any one object, that object will be selected in the view port and the camera will zoom to it. You can then delete that object, if you want to.
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