How to delete identities with the API?

## Description of the problem, including code/CLI snippet

```
user.identities = []
user.save()
```

## Expected Behavior

Identities are deleted.

## Actual Behavior

Identities are unchanged.

## Specifications

  - python-gitlab version: 2.2.0
  - API version you are using (v3/v4): v4
  - Gitlab server version (or gitlab.com): 12.9
