I had the same problem, I have figured out a way to delete words.
In _C:\Users[yourname]\AppData\Roaming\eM Client_ you will find your custom dictionary, a file with the extension .custdic
It seems to be a normal textfile which you can open and edit with a text editor like Notepad.
I would close eM Client before you start hacking this file though, and it may be wise to make a copy of the file before you start to edit it.
I could change this file on my system without side-effects, but as this method is not documented by eM Client staff (yet? Anyone reading this?) please proceed at your own risk…
Hope this helps,