You can remove the products from the wishlist on the wishlist page http://prntscr.com/p0mzbc , header wishlist widget does not include the remove option.
Have you created the wishlist page? If not go to Page > create new > create wishlist page with the wishlist shortcode [yith_wcwl_wishlist] in content. After that go to YITH > Wishlist > and choose the wishlist page http://prntscr.com/p0mwta
