The container did not exist ('not included in this skin') so I removed all widgets. On the third and last one it gave me an SQL error. No specification ('Report to administrator' or something similar). Returning to blog was OK and in the Dashboard the container was now gone. No more errors, but it was not a nice experience.
Place it very low on your @TODO list :-/
Was this an upgrade? On a fresh installation I added a skin with no containers, installed it, selected it for a blog, and removed all the widgets without issue.