You could try connecting your watch to a computer with the USB cable and deleting the course file from the \GARMIN\COURSES folder.
Hold MENU.
Select Settings > System > Restore Defaults > Yes.
Hmm, yeah, sometimes Garmins get out-of-sync with the visible file system (there's duplicate settings/information that can't be accessed via USB).
I can think of 2 things to try:
1) If still you have all 3 courses in Garmin Connect, send them all to your watch. Then hopefully you can manage them normally
2) Factory/master reset
You will lose all your data, but it's possible to backup and restore most things (at least you'll keep all your CIQ apps and custom activity settings):
https://forums.garmin.com/forum/into-sports/running/forerunner-935-aa/1282161-backup-of-user-settings?p=1282900#post1282900
And you can keep your FirstBeat training stats:
https://forums.garmin.com/forum/into-sports/running/forerunner-935-aa/1394320-forcing-a-physio-true-up
Factory reset procedure:
Had a same problem and this helped, thanks. I have deleted 2 fit files although only 1 course could not be deleted so I hope I did not delete anything I could want :D
@HugSilva78's solution helped me as well. Thanks.
Are you able to open the course, rename it and use it without a problem within the watch?