I have the same problem, nearly a year later, upgraded releases of iPhone and iTunes in the mean time. I am specifically trying to delete the two volumes of "Pillars of the Earth".
Newest version of iOS doesn't have "slide to delete", it has an "Edit" button at the top and then little "X" marks appear in the top left corner of each video icon. I clicked the X on the two movies I want to delete, then "Done" with editing. Now the movies are still there, but the "X" is gone!?!?!
I have tried re-synching with iTunes after unchecking the boxes. I have looked at iTunes to see what it thinks is on the iPhone -- and it thinks that volume 2 is on the phone, but volume 1 is not -- iTunes is wrong, they are BOTH on the phone.
How do I get rid of these things?!?!?