I have created a selection set from a mosaic dataset footprint. It was added to the TOC. There is no option to remove it from my table of contents when I right click on the layer. I can do it with other selection sets but not a mosaic dataset selection. I am using ArcPro 3.2.
Interesting! I'm using ArcGIS Pro 3.4 and see the same thing. In the internals, this is BUG-000126017 - Creating a layer from a mosaic footprint selection leads to the creation of a layer without the remove option.
The workaround is to select the layer in the Contents Pane and then hit the Delete key on your keyboard. Not sure when this will be addressed but it's in the Product Plan.