The delete button is greyed out if it's your currently active game. I'd suggest simply starting your new game, and then you can clear away the old one later.
Alternately, if you exit the program, you can delete the folder manually. It will likely be in a folder similar to this (C:\Users\Matt\Documents\Out of the Park Developments\OOTP Baseball 17\saved_games), and if you simply delete the .lg folder, then it will clear away the old game.
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