No way that I know of. If you exit the spline command and click on the point you can delete it so long as it's not the first or last point in the spline.
If after exiting the spline command, if you want to add more points, right-clicking on the spline and selecting "insert spline point", and you can add more points.
Hope that helps!
Removing spline points as you go isn't possible, as far as I know, but most splines I see have way too many control points. I recommend placing as few points as possible when you first insert the spline (I sometimes just put a start and end point). As Andrew points out, you can add more points later.