Sorry, I just realized my below answer only works temporarily, (that is, when you press "shift" + "delete," the site is only cleared from the list while you are viewing. But when you click the arrow again, the site appears again in the list.

I'm leaving my original reply in case it helps someone arrive at the proper solution.

(Temporary solution only) -- Click the drop-down arrow, hover your mouse over the site you want to delete, and hold "Shift" while pressing "delete." :)

Actually, that worked for me. Will check again when I restart next time. Thanks. RitaLouise

Entries in the location bar drop down list with a yellow (blue on Mac) star at the right end are bookmarks.
You can remove such a bookmarked item that shows in the list if you open that url in a tab and click the yellow star in the location bar.
This will open the "Edit This Bookmark" dialog and you can click the Remove button to remove the bookmark if you want to remove such a bookmarked entry.

• Remove websites from the address bar suggestions
• Cannot clear Location bar history
• Address bar autocomplete suggestions in Firefox

I realize you are right in your answer. I had tried to look at the bookmarks to find those I wanted to delete, but could not find those in the list. Don't know why. I had associated it bookmarks, but seemed to find a dead end. So yes, I can see the connection. I don't quite understand why this setup is such, but then I usually think differently than the herd anyhow. Thanks for clarifying. RitaLouise