if you tell UOA to pass the key entry along to UO (a check box in the top right corner of the keys gump) for whatever the delete key is set for, it will let UO delete the group as well.
It is the "pass-along" feature, then creating UOA & UO macros tied to the same key, with different pauses put in, that allows some of the more creative legal macros in the game (like the ability to disarm a weapon, chug a potion, then rearm, with one key press)