Ultiboard is reporting missing component errors (Part "X" is not on the design) because the part is still referenced by a net. To correct this, you must remove the part from the net. Following the steps below to remove the part form the net.
1. Tools > Netlist Editor
2. For each net that the part was connected to, select the Net (at the top left).
3. Select the Pins tab, select the part and it's pin in the dialog, and click remove
On issue is once the part is deleted, I can't see any easy way of determining the nets that you need to remove the part from. I've entered this as a feature request to make this easier, but as a workaround, you can place a part and tell Ultiboard that it is the missing part, then find the net names on the pins, and remove the part from these pins
1. Place a part with a large number of pins (eg the part that was removed, or for example Through Hole Technology > Connectors > SIL's & Headers > HEADER2X9). When you place the part, make sure the RefDes matches the RefDes of the part that was removed.
2. ONce the part is placed, you should see rats nest lines connecting the part to the nets.
3. Zoom into the pins. You should now see the net name on each of the pins. For each of the connected pins, remove it from the net as described above.
4. Remove the part you placed.
