Use the REXXUTIL function SysDestroyObject to delete a complete directory tree including the sub directories (Source: Michael Platschek (see EMail Addresses)).
Please note that this is not possible if there are read-only files in one of the directories. To get around this limitation you can use the function SysFileTree (see also Delete a directory(-tree)):
 
/* sample code to delete a directory tree                             */
                    /* dirToDelete contains the name of the directory */
                    /* to delete                                      */
  dirToDelete = 'D:\TEST'
                    /* load the functions from the DLL REXXUTIL       */
  call rxFuncAdd 'SysLoadFuncs', 'REXXUTIL', 'SysLoadFuncs'
  call SysLoadFuncs
                    /* clear the read-only, the hidden and the system */
                    /* flag from all files                            */
  call SysFileTree dirToDelete || '\*.*', dummyStem, 'BS', '*****', '-*---'
                    /* delete the directory tree                      */
  call SysDestroyObject dirToDelete