I`m trying to remove a warp link to my SG, but I get the message " Using a Warp Editor in this sector is not permitted".
If that`s the case, how did the warp link get created in the first place?

This can happen in the following situations as you can create an SG warp out of an SG, and you can link an SG with another SG using the SG Device, but you can not remove links from an SG, once they are there, they are there for good:

1 - Someone either cloaked past your defenses
2 - Someone sent a probes in and got the location
3 - Someone had a spy on your ship and managed to get a location
4 - Someone hit a debris that threw them into your SG

After that all they have to do is create a SG warp out to real space.

Hope this answers your questions.

If, by chance, you are trying to use a warp editor in a realspace sector, and are getting the same message, first check to see if there is a space in front of the sector name you are trying to use the warp editor on, a lot of times I copy a space when I copy a sector name (If I am using firefox, and I double-click on a sector name and copy, it automatically gives a space at the front, which I have to remove.)

If the name is correct without a space, check to see if you are trying to remove the link both ways. If you are, the other sector could be the problem. If the other sector is a Federation sector, or owned by another player, you would not be able to remove the link from their sector to yours, only from yours to theirs. The other player, or the Federation, is able to set sector rules for their sectors, including limiting warp editor use to the owner and his teammates.

If it is not a realspace sector, as Tarnus mentioned, you are unable to remove a link to an SG sector, you just have to defend that point too.

Be nice if we could twist PJ's arm into adding a trim command to the warp editor fields so we wouldn't have to check for spaces on the front and back all the time (Hint... Hint)