DF Studio automatically deletes all empty Setups.
To remove a Setup from the Setups menu, move all photos from the unwanted Setup to another Setup, or the Default Setup (where images reside when not assigned to any other Setups).
The Default Setup will not appear when it is empty (that is, when all images are in Setups). To add images to the Default Setup when it is not shown, add them to a new Setup temporarily, then delete the new Setup.
For more information about moving images into various Setups, see Create Setups Within a Project.