Should I delete my Genymotion Desktop trial account to set up Genymotion SaaS?

No, deleting your Genymotion Desktop trial account is not required to set up Genymotion SaaS. Genymotion SaaS uses a separate cloud account flow, where you create and validate a SaaS account and then request a trial from the cloud portal: I have just created a Genymotion Cloud SaaS account. How do I activate my free trial?

If you are only moving from Desktop trial to SaaS, you can keep your Desktop account. If you specifically want to delete your SaaS cloud account later, that requires cancelling the plan first and then submitting a removal request: How to delete my Genymotion SaaS (Cloud) account and all related data?