If you select the object and open the Appearance panel you will see an "Add" effect applied to it.
Select the effect, then click and drag it to the trash in the Appearance panel. Now, you will be able to select the segment with the Direct Selection Tool A, and hit Delete.
Note: Any time you see some inexplicable/unselectable thing in Illustrator, the first ...
Dig out the Scissors under the eraser and use it. Have View > Snap to point =ON to be able to cut exactly at the corner point.
The Eraser removes a part of the closed area and generates a new edge, it's purpose isn't to slice curves nor remove segments.