To delete an entity, simply removing it from your list will cause it to be no longer referenced, and therefore the Entity, along with some of it's sub-objects, to be deleted.
Entities are referenced by any children they have, and any entities they are parented to. So at the very minimum there are three references to any entity, plus whatever other complexities might be present. So a manual Free() method is necessary. There are very few cases when manually freeing an object isn't necessary.