How found:

1. Open Jenkins and login as Admin
2. Click on Manage Jenkins on left hand menu
3. Click on Manage and Assign Roles
4. Choose either Manage Roles or Assign Roles link
5. Add some roles (set value for field "Role to add" and click "Add"), then try to remove them by x button next to the added role.
   -> Nothing happens on click on x button next to newly added roles. It's possible to delete previously created roles. If save changes (click on "Save" button) then new roles is able to delete.

How it should works:
It should be possible to delete newly added roles without the need to save changes first.