Small things are sometimes a bit hard to select. To fix this, KiCad has implemented a "Long Click". (keep mouse button depressed for around 1s) This long click pops up a context menu which lists all items on that location. So then you can unambiguously select the "No connect" flag and delete it.
Another option is to drag a small box around the no connect flag from left to right. Dragging a box from left to right only selects fully enclosed objects, while dragging a selection box from right to left also includes object that cross the box boundaries.