I was having this issue and trying all methods I found
http://community.wd.com/t5/My-Book-Live/Can-t-delete-files-from-my-book-live-on-MAC/td-p/563006
http://community.wdc.com/t5/My-Book-Live/Mac-How-to-delete/m-p/372681/highlight/true#M9830
Eventually I tried deleting via my iphone app and it worked!
Click the options button top right of the screen in the wd2go app; tick the folder you want to delete; swipe left the menu of options at the bottom of the screen and touch delete.