Administration > Manage Roles > create new role > assign role to a user for any site (either in Manage Sites or Manage Users) > Manage Roles > try to delete
> Manage Sites > edit the site you assigned the user to > deleted the assignment > Manage Roles > try to delete
> assign the role/site back to the user again > Manage Users > remove the role/site from the user > Manage Roles > delete the role
It deleting a role assignment should work the same in Manage Sites as it does in Manage Users