You have to manually delete them.
You will find the saves in the savegame folder located in the senarios folder of the Folder you installed the game to.
Something like C:/Program Files/Paradox/HOI2/Scenarios/Savedgames
You will find the saves in the savegame folder located in the senarios folder of the Folder you installed the game to.
Something like C:/Program Files/Paradox/HOI2/Scenarios/Savedgames