Only photos in the Saved Pictures, Import, or Camera Roll folders can be deleted. All other albums are synced with a folder on the computer. To remove pictures, go to those folders and remove them, then sync again.
This kind of limitation is one of the thing I hate from using Apple Devices and iTunes.
What's the point of having mobile device if you need to connect and sync them over and over again to a laptop/pc only to remove unwanted things from it.