Be aware that if you delete a favorites list, it deletes the favorites list from every profile. The favorites list is gone forever. If you want to remove the favorites list from a single profile, go to the Profile Editor and set Download and Monitor to Off for that favorites list.
No, if you delete only favorites list #2 in Sentinel, that is the only favorites list that will be deleted... but as mentioned, favorites list #2 will be deleted in all profiles, if you are working with more that one profile. Also as mentioned, to be sure that favorites list #2 gets deleted in the scanner, when you write to the scanner from Sentinel, check the "erase favorites lists on scanner" box.
That will erase all favorites on the scanner, and then immediately write your new setup for favorites from Sentinel to the scanner (everything that was on the scanner minus favorites list #2).
The favorites lists are shared by every profile. You can delete favorites list 2, and that will not affect favorites lists 3 and 4. Delete a favorites list only if you never want to use it again. You can set whether you want to use it or not in each profile.
Unless you are absolutely, positively certain that you don't want the given Favorites List to ever be used again, it is advisable to export the Favorites List to an HPE file before deleting it. That way if you want to recover it, you can import it back.