Problems with iOS 10.2 TV App?
To delete a video:


From Home Screen
Tap Settings
Tap General
Tap Storage and iCloud Usage
From Storage Tap Manage Storage
Tap TV app


You will now see your videos in the app and at this point you can hit Edit and delete the videos you no longer want.

Shorter option:
Or you can click into the video and you'll see a Downloaded button.  Click that and you'll see the option to remove the video.