Deleting xref components is not different from deleting local components and folders.
You delete an instance of an xref component or folder by selecting it in the mechanical browser and using the Delete right-click menu item. You can also delete all instances of an xref component or folder by deleting its definition from the structure catalog.
If the component or folder was the last xref component or folder from the source file, the AutoCAD Mechanical toolset prompts you to check if it should detach the source file from host drawing. If you choose not to detach it at this time, AutoCAD Mechanical toolset automatically detaches it at the time you save the host drawing.