I have an HFM instance with a couple applications. The environment used the rapid deployment setup option.
I was able to right click on an application in the Shared Services Console and delete it from there. This doesn't solve your problem but lets you know that it worked in this environment.
Classic applications can be deleted from: >Navigate >Administer >Consolidation Administration
Then from the top menu, select Administration > Applications
Select the application you want to delete
Then Actions > Delete