Unfortunately, artifact removal is not an exact science...
Saccades create artifacts that are not as reproducible as blinks or heartbeats, removing them is not always possible and often require many trial and errors.
You can try a few more things:
- Creating shorter events around the saccades (instead of the 3s one on your screen capture)
- Trying with different frequency bands
- Trying with ICA instead of SSP. See the EEG-based example from the tutorials:
https://neuroimage.usc.edu/brainstorm/Tutorials/Epilepsy#Artifact_cleaning_with_ICA - Make sure the projectors you apply do not alter much the recordings away from the saccades. If you don't manage to get rid of them by removing one or two SSP/ICA components, it would be safer to mark the segments as bad (if you have enough data left...)