ImageJ doesn't have a feature to remove individual lanes. But that shouldn't be a problem. All you have to do is draw the first lane correctly (I'm referring to size). Then press 1. Now, while the selection is still... selected, click inside it, but not on the number (where the cursor becomes hand), and drag it where you want the next lane. And press 2. And so on. Draw all your lanes.
Now, if you misplaced a lane, click the rectangle selection tool, then click on the lane number while the cursor is a hand. It will be selected. If you're having troubles with this, use the shortcuts Ctrl+1 and Ctrl+2 or the menu Analyze - Gels - Select Previous/Next Lane to select between lanes. The cursor turns to normal. Click anywhere inside the lane and drag it on the right place.
If the first lane was bad and you want to remove all lanes, just go to Analyze, Gels and click on Reset.