Like the first 4 sites in this Chrome jumplist...
I'm using Windows 10 and clicking and pressing right button on a line only allows you to pin them...
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In Google Chrome, the first few sites you see in the jumplist are from the New Tab Page shortcuts to your most visited sites.
So, to remove a specific site from your 'most visited' sites in the jumplist, simply remove it at the New Tab Page by clicking the little 'x' sign at the top right of the tile.
I expect there would be a similar case in Firefox (but I don't use it, so can't specifically comment on it!)
It's very easy to remove the "recent visited" crap from your Win10 taskbar icons.
Just go to Settings>>Personalization>>Start and uncheck "Show recently opened items in Jump Lists on Start or the Taskbar", this should be the last optinon with an on/off switch on this page.
I hope i could help you, even you asked 3 months ago.
Actually, last month big Windows 10 upgrade (Version 1511, OS Build 10586.3) added the possibility to remove particular items from both the icons on the taskbar lists and the icons on the Windows menu. These include Chrome jumplists of "most visited" sites. The option shows up just right-clicking on the Chrome icon in the taskbar or the menu.