Outlook’s “People” feature lets you integrate contacts from Facebook, Google and Twitter, as well as from other sites and sources.
Note that I said “integrate,” not import. The difference is that when you “connect” to the social services, to use Microsoft’s term, it doesn’t really import them. In other words, it doesn’t copy the address book. It merely points to it.
If you want to delete a contact “imported” from Facebook, for example, you can’t do it from Outlook.com. You have to do it from Facebook. Only contacts created in the Outlook.com “People” area can be deleted from Outlook.com.
I haven’t imported any contacts so I don’t know if they behave differently (I assume they shouldn’t), but can’t you just delete the respective contact(s)? Just select it/them from the left-side list and a delete button will appear in the upper menu.