I am running Windows 7 SP1 and below is an example of how you should be able to remove folders, files or more than one image. This example shows how I have removed images from mine. It works the same way as I would do it on my computer. I select the first image and then go to the next one, press the Shift key and then all those in between become selected too. See images and more info below.
After selecting images as shown above then click on Options icon and then Delete. You should see the box below come up and it will show how many images were chosen. I had 13 chosen when I captured the image.
If I have the same images on both my computer and my My Cloud I can place both screens side by side and remove the images. See image below. The image should look better if you use this link.
I hope this helps.