The only thing I can remember doing is while playing on the watch itself, I hit the minus buttons next to the different designs. I thought it would uncheck them and I think it deleted them. They don't even show up on the wearables app on my phone anymore.
I did the same thing. Fortunately you didn't lose the backgrounds. Just choose a photo from gallery or take a pic using the Mystyle tool and all the backgrounds can selected. Have fun!