Same problem for me (I’m using SketchUp 2015 and OS Yosemite too): I can't delete "the last one material" as shown in the gif.
In addition, I’m using the last version of V-Ray for SketchUp and, every time I add a new material on the scene (e.g. “Metal_Satin”), when I look into the V-Ray Material Editor, I find 3 materials instead of one (e.g “Metal_Satin”, “Metal_Satin_1” and “Metal_Satin_2”) with the same specs (..like they were a copy / duplicate materials). It’s really annoying thing seeing that on the SketchUp Model there is only one material!
Anyone has spotted the same problem?