Is tamper protection on in the group that the GUP is in within the SEPM?
Clients > Polocies > General Settings > Temper Protection is this set to "Block and Log" is so adjust to log only and update policy on the GUP should allow you delete the contents of the shared folder.
If the above doesn't work try adjsting the liveupdate policy to make this not a GUP once updated the machine will revert back to a normal SEP client and delete the folder and content itself without having to removbe the SEP client. Then simply just add the GUP back into the policy to revert it back.