Same problem. I also have a custom entity with the activities option selected. Not sure if that is root cause but we have the same situation. I can't find out how to query entity relationship roles to find out exactly what the error message is referring to. Only the following page about dependencies makes a reference to it. When I show dependencies on the custom entity, no dependencies are listed with the component type of entity relationship type.
We opened a ticket from Microsoft and it turned out that it was a known problem and it will be solved through future updates, but in our case we could not wait, so they ran script on their back-end on our organaization on the entities to be deleted and after that I deleted without problems