Ok buddy this is what I have found out. while you can not delete the blog role you can edit it to say whatever you like. if you do not want any links at all then you will have to go into themes > widgets and turn off “Links”.
In order to add new link categories go into manage > categories and add the category you like. then go into manage > links and make your link then scroll down and you should see the category you just made in a little box, check the category you want your link to fall under then hit save. now if you go back into manage links you will see your new links category in the drop down box (not like you need it now anyways).
this is a round about way but it works. So now if you go to view site (assuming you reactived links under design > widgets) you should see your links in all their catergorized majesty.