First, it doesn't improve performance. The folder is historical only. It's akin to having too many temporary internet files on your system, so if simply reducing the number of wasted very small files improves overall OS performance, go for it.
Personally, I like to remove them because it bothers me on a fundamental level to have 3000 no-longer-ever-to-be-used files just sitting taking space in a folder structure.
How to? Ctrl-A to select all, then Shift-Del. Pretty easy. Don't delete the folder, just everything in it. SBS Store is, literally, ONLY for historical purposes and troubleshooting.
Have fun.