Made a mistake

Please delete my phantasy star online2 game account on Steam since I already have it. Then I hit wrong, can't link accounts in MS

They can't. They already gave fair warning that you will never be able to link to MS Store if a Steam account is created, since it will be permanent and a problem on Steam's side, rather than theirs. If SEGA made a standard account based log-in system from the start for global (like with Japan), this wouldn't be a problem, though.