https://excelwork.info/excel/constmsoautoshapetype/
AutoShapeType = msoShapeOval を利用すればできるかもしれません。
以下例です。
’---------------------
Sub DeleteCircles()
Dim shp As Shape
For Each shp In ActiveSheet.Shapes
If shp.AutoShapeType = msoShapeOval Then
shp.Delete
End If
Next shp
End Sub