In Google Docs, Sheets and Slides, this is easy:
First click on the three dots in the top right of any comment you create.
Then just select Delete.
In Google Classroom, unfortunately you can't delete a private comment from within the Document view window. Instead, you'll need to go out to the individual student 'Student work' view, (in the 'Student work' view, just click on the student's name in the left pane), and click the three dots over on the far right of the page, see bottom right in the picture below:
We're working on a way to preview voice notes before they're shared to the document, because we've heard that this would be really useful - especially within Google Classroom!