I cannot delete nor modify a host with missing DHCP entry.
The UI tries and fails because of the missing DHCP entry itself.
I think this situation should be considered as ok and the process should continue (i.e. I want to delete it and already it does not exist = deleted successfully anyway). Maybe generate a warning but not fail?

I checked this more deeply and found out the real issue now.

The issue was due to misconfiguration. The DHCP feature did not start on the proxy.

Can the error description be improved? I got misled because of 404. Also, the smart proxy was green in the smart proxies section so I was unsuspecting.

proxy.log:

2018-11-20T14:54:47 df1b559e [I] Started DELETE /dhcp/192.168.108.0/mac/[redacted]:96:03
2018-11-20T14:54:47 df1b559e [I] Finished DELETE /dhcp/192.168.108.0/mac/[redacted]:96:03 with 404 (0.51 ms)

UI error:

Remove DHCP Settings for [redacted] task failed with the following error: ERF12-0635 [ProxyAPI::ProxyException]: Unable to delete DHCP entry for [redacted]:96:03 ([RestClient::NotFound]: 404 Not Found) for proxy https://[redacted]/dhcp