I don't understand ... an xref-dependent layer means that layer comes from the xreffed DWG file. It's not inside the current DWG, so you cannot delete it directly inside the current DWG. If you don't want that layer, then delete it from the xreffed DWG (that's where it IS). Or detach the xref so it doesn't bring any of its layers into the current DWG.
If you want to keep it inside the xreffed DWG, but not show it in the current yet still show some other layers from the xref, then as Lee's stated: Freeze/Off/VPFreeze the layer so it doesn't appear in the current drawing's graphics. Appart from the above 2 methods (delete / detach) there is no way to get rid of the layer in the Layer Manager list in the current DWG. Either live with it, or don't use xrefs.
Remember: An XRef is a link to another DWG, it's just implemented as a special type of block. So you'll see the stuff that's contained in the other DWG. But they'll be read-only since they are simply linked to from the current DWG - they're not imported (as in Insert --> browse). They're still part of the other DWG only shown in this one as well.
Edit: If by "delete" you mean you want to remove the overriden settings for it in the current DWG. Thus reloading its colour/linetype/etc. from the original xref: Then there's an issue with that. You'll need to fiddle around with VisRetain, and save the properties of the other layers so you can restore them back again. Or you'll need to use ObjectDBX to read the layer's properties from within the xref DWG then apply those properties to the dependent layer.