Since your employer has listed your wages as New Jersey sourced on your W-2 form, your wages are being correctly reported since you do reside within a state that has a reciprocity agreement as stated by Amy above.
Therefore, you do not need to select "remove these wages" as they need to be reported on your New Jersey resident income tax return.
I do suggest reviewing your W-2 form to confirm that none of your states wages were reported under boxes 15, 16, and 17 as being sourced to Pennsylvania. As long as that is correct, you do not have any Pennsylvania sourced income or withholdings and are not required to file a nonresident Pennsylvania return.
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