How do I remove multiple mail rules using iCloud server?
At this time, no, you can only delete them one at a time by clicking 'Edit' and then 'Delete'.

You can always submit feedback about this on the iCloud feedback page, or if you have a developer account, you can submit a bug report on this as well.

I personally wish these rules could be as strong as some of those in Mail.app, as well as synced between the two (iCloud mail on the web, and Mail.app on the computer).