Hello Daniel,
Have you configured data sources? 1960721 - Search Data Sources in GRC
We have a similar issue but with Legacy Connectors, in such case there's a special procedure to delete users. Even you perform a full synch the users are not deleted.
If you are in a DEV/TEST system you might try cleaning up the tables using SE14 for example. I tried such option once after deleting the SoD rules in a DEV system and we still had an entry in one of the tables that was impossible to delete via the programs.
Definitely that's not a recommended procedure, but for tests systems where you've tried and tested many things sometimes is the only way to fully clean the tables. For a production system is not an option at least if you don't have a SAP recommendation to do that...
Cheers,
Diego.