Hi,
i wrote a small interactive script a while ago for this purpose:
https://github.com/RHofsaess/xrd-interactive
I didn't tested it for the current version of xrootd (last one was 5.4.2) and I am currently not developing it further due to time limitations.
But recursive rm should work :D
Else, you can try gfal2. This also allows recursive rm of directories that contain files.
Have a nice day.
Robin