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