You can't delete scenes from Smart Content, but if you right-click the icon of the scene in Smart Content there is an option "Show in Content Library". Click this and it will take you to the scene files in the Content Library tab view. From there you can right-click and select Delete.

Of course you can go directly to Content Library and find the Scenes folder, but going via Smart Content right-click can be quicker.

I just installed 4.6 and the "don't show again" for "start learning" worked for me. It's a long shot, but assuming you are using Windows, you might try running Studio "as Administrator" (right-click the icon in Start Menu and choose "run as Administrator") then check "don't show again", close Studio and start again as normal. See if that works.