Softmod only uses 3 possible games to mod with
Splinter Cell (The First one), Mechassult or 007 Agent Under Fire
Do not delete the saves for those games
There may also be saves from the actual mod itself or Custom Dashboard don't delete those either
Otherwise saves can be deleted without issue
It's been far too long since I even had my xbox on to know if there is a save state option in ZSnesbox, but at a guess I would assume so