Though there's not an automated way to exclude those, TOS will do most of the work for you with just a little manual intervention. At the top of the scan window you can select a watchlist of symbols to exclude. Create a new watchlist and set your scan to exclude it. Run a scan that has whatever your minimal criteria for stocks you would trade and set it for 2000 results. Sort by the Sector column. Multi-select the ones with no sector. Copy/paste that to Excel (easiest) or even Notepad. If it's Excel, select the column with all the symbols and copy. Go back to TOS and import those into your exclusion watchlist. If you used Notepad you need to edit every line so it's just the symbol and then copy that and import into TOS.
Presumably as new symbols are created or their parameters change and begin meeting your scan criteria you'll see some without sectors showing up in your scan again. Just right-click them and add to your exclusion watchlist. Note that if you run a scan, see a stock with no sector, add to exclude list, run again immediately it will still be in the results. TOS takes some time before it reads the symbols from the exclusion list again. It'll work later.