When right clicking, the only 2 options that appear are "Create Shortcut" and "Sort by Name." Clicking "Create Shortcut" will give an error message "Windows cannot create the shortcut. Check to see if the disc is full."
There is no option to delete. It's so weird! This blank entry does not appear if you actually open the Control Panel window. It only appears in the Start Menu Control Panel as shown in the screenshot.
I know this seems like a trivial bug, but it's a bit annoying, and seems like a challenge to fix, and I feel I need to conquer this little bugger.