You can never delete those songs off the memory the way you doing it. I know what the manual says but it doesn't really permanently deletes them.
Fortunately, there is a way to do just that. Permanently deleting the 500 completely into a blank state. But I think you need those presets first right now before you can dive deep and create your own stuff. Learn the machine with those presets, play with the samples and change their settings, see what happens and keep experimenting.
I find I learn machines quicker by messing around with the presets than just delete everything and create on my own beats. You actually see what the machine does much clearer and I rather mess up a preset than a hot sample of my own
However, if you still like to know how to delete everthing permanently, I'd tell you later or search here, its here somewhere.