These are the official instructions from Apple on removing the U2 album “Songs of Innocence” from your iTunes library:
1. Go to https://itunes.com/soi-remove.
2. Click Remove Album to confirm you’d like to remove the album from your account.
3. Sign in with the Apple ID and password you use to buy from the iTunes Store.
4. You’ll see a confirmation message that the album has been removed from your account.
If you downloaded the songs to iTunes on your Mac or PC or to the Music app on your iPhone, iPad, or iPod touch, you’ll need to delete them manually.
Source: Apple Support