I'm not guessing. I can see 2 different types of "cross"; 1 when I hover over a movable window (such as the property sheet) and the other (smaller) when I click on a control. In the latter case, first it's just the usual arrow, and the cross doesn't appear until I click on the control and its border becomes highlighted. However, I don't worry about what the cursor looks like once the control is highlighted. Delete key removes the label only - even if it's attached to the control. BTW, I don't ever see a finger cursor unless it's a hyperlink or an item that will respond to a single click. No idea why you cannot select then just delete.
Selecting (thus it's highlighted) and right clicking presents a context menu with lots of choices - one of them being delete.
I made a small jpg for this post, but it's not very intuitive as to how to include it.
EDIT - OK, it magically appears as a link after I commit the post.