Cards cannot be removed from a collection once their set has been changed.
Steps to reproduce:
Create a collection (virtual or real makes no difference).
Add a card to the collection. This must be a card that is in two sets or more.
Make sure the set column is viewable.
Change the card's set by clicking on the set (for the card) in the collection window and selecting a new set from the drop down.
Notice you can no longer delete this card by hitting the backspace or delete key on your keyboard.
You can delete the entry by changing the card's set back to the set it originally was when it was added to the collection.