Go to the palette editor.
Select a CSet.
Hold down 'shift' and press 'up' or 'down'.
Multiple CSets can be selected perfectly well in this way (although the interface flashes when they are).
Now hold down shift, and click on a different CSet to the one you have selected.
Nothing happens.
Release shift, and suddenly you can select multiple CSets...
...indefinately, until you selet more than one palette again with the arrow keys and shift.
Oh, and I'm in small mode if it helps.
EDIT:
Also, it might make sense if it cleared out a CSet so all of the colours in it where 0,0,0 when you pressed delete while you had it seleted.