To delete or not to delete the website urls left in comments is one question I go through each day. I set up a couple guidelines for myself that I use before deciding whether to use the EDIT feature in Wordpress to delete the URL out fo a comment.

Why would you delete the URL out of a comment? To invalidate links.

My criteria for leaving or deleting links
1. Has the commenter commented often on my blog?
2. Was the comment well thought out?
3. Was the comment relevant?
4. Is the person looking for easy SEO only? Examples of this would be SEO Australia with the website pointing to something like SEO-Australia.com and then the comment being something simple like: “Great idea, I like it.”

How to Delete the URL out of a Comment
In Wordpress when you go to approve the comments manually, just click edit, delete the url and then hit save. This will still allow you to publish the comment, but leave the URL out.