MMm, just tested - you're right, once you have an EPG entry defined, it seems it has to stay - you can't deselect it. If you remove the check box on the one EPG, it re-appears when you save; if you select a different one, it simply replaces the first. The behaviour is the same on a bulk edit and a single (in-cell) edit.
The only quick way I just found to remove the EPG from the channel is to delete the channel and re-map it.
Might be a bug... might be intended functionality. It's perhaps worth raising an issue on the issue tracker?