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Removing a citation must always be done using the Edit & Manage Citation(s) dialog in Word.
Find the citation to be removed in the preview panel at the top of the Edit & Manage Citation(s) dialog. Tip: It helps to first mark the citation to be removed in the text.
Select Remove Citation from the Edit Reference drop-down and select OK to confirm and close the dialog box.
Alternatively, you can use Convert Citations and Bibliography and Convert to Unformatted Citations. The appearance of your citations will change and you can safely delete them in the text. Afterwards, Update Citations and Bibliography to reformat