Ok, I think we're progressing. It's like playing detective.
I just tried to replicate what you're doing. I'm getting a slightly different message in ootp11, but the point is basically the same.
It seems we can easily demote a guy to the minors, but pulling him off the 40 man is a different story.
From what I can see, no matter if you are commissioner or not, you are going to have to become the manager of the team in question temporarily in order to see the transaction dropdown menu when you click on a player. It seems impossible to just remove veteran major leaguers from the 40-man roster in one quick swoop. (You CAN remove them easily from the 25 man without being the manager, as I did above.) You need to go through the semi-tedious process of passing him through waivers and then designating him for assignment, then dropping him from the 40-man.
(You MIGHT be able to skip a step by going to your league Rules and on the Waiver Period Length choose Waiver Rule Disabled).
I suggest reading here and taking the suggested steps.
OOTP Baseball Manual - Secondary (40-Man) Rosters