Can't delete songs on the PS3 period. Well, that is, unless you delete the entire game data folder and then re-download everything.
The best part is that if you accidentally lose touch with your DLC like, for example, accidentally delete the account all your DLC is connected to, it won't go away. Oh no, that would be too obvious and simple. Instead it'll show up in the list and start to load before saying it can't be found and quitting out to the menu. This is even worse when you're in Band World Tour and it picks these inaccessible songs as part of random setlists.