Hi Audacious
In Azure Storage Explorer, you can delete multiple files and folders at once. If the delete button is grayed out when you select folders, it is likely because the folders contain soft-deleted blobs. To delete soft-deleted blobs, you need to choose the "Active blobs and soft deleted blobs" or the "All blobs and blobs without current version" view context.
You can find more information on soft delete in Azure Storage Explorer in the following link: https://video2.skills-academy.com/en-us/azure/storage/common/storage-explorer-soft-delete#view-soft-deleted-blobs
If above is not the case, don't delete the folders directly, instead you can try to delete all the files within the folder first and then delete the folder itself.
Let me know in comments if you have any questions.
Please accept as answer and upvote if the above information is helpful for the benefit of the community.