Pressing the right scroll wheel in deletes (or adds) the currently tuned channel from (or to) your favorites.
It's really stupid feature, honestly, and not one I remember in the past so might have been added recently. Several times now I've accidentally deleted a favorite because of this "feature." Never before have I though "boy, I wish I could just click a button the steering wheel to add a favorite." I'd love it if they just dropped it altogether.