When I clicked on Settings, there was no option to "unfollow."The option should be there - it's there for all of my blogs, at least.
The Following Settings wizard uses a popup window, and the link "Stop following this site" is over to the right of the caption "Settings for (Name of Followed blog)". Many Bloggers keep their popup windows minimised somewhat. Depending upon default text size, the Following Settings window will be too narrow to show the "Stop following this site" link. Don't waste time looking for a horizontal scrollbar, even with the window minimised.
If you're trying to remove a blog from your Following neighbourhood, and you can't find the link, stretch the right side of the popup window. It's there, to the right.
It's there - just look for yourself.