To delete the volume points highlight the area of the track with the points you want to delete, right click and select (ithink it is called ) clear envelope/volume points. To lock them in place the only way I know is to disable the volume point icon in the tool bar at the top, but that means you can't change point sin other tracks without reenabling it!
The other thing you can do is after you finish setting all the points, click on the volume button at the top of the page. The volume envelope and the points disappear, but Cool Edit remembers them until you choose to Save (or not).