Price Bands are separate from classes and events so, if you no longer what to offer a particular Price Band, then all you need to do is un-link it.
You can do this from the Group Overview area.
1. Click on the 'Options' menu for the Group Event in question
2. Select 'Price Bands'
3. Click the 'un-link' icon next the Price Band which you wish to remove
And that's it!
This quick video shows you how to un-link Price Bands: