How is the new system stored procedure sys.xp_delete_files different from sys.xp_delete_file?
To start with, the older xp_delete_file (also undocumented) is quite limited:

It can only delete either backup (.bak / .trn) or report (??) files (I believe it actually scans the first part of them to verify the file &quot;type&quot;
It only deletes by file extension (i.e. not specific files, or whatever matches based on wildcards) and based on being older than the supplied date
It's picky and requires a trailing slash on the directory / folder
It can only delete files, not folders
It can recurse down through subfolders (ok, so this one is not a limitation)

For more info on it, please see:

How to Use xp_delete_file to Purge Old Backup Files
SQL Server xp_delete_file not deleting files


The newer sys.xp_delete_files has the following syntax:
EXEC sys.xp_delete_files 'fileSpec.01' [, 'fileSpec.02' [, ...] ] ;

Notes:

File type / extension does not matter
Works with standard DOS wildcard characters:

* = zero or more of any character
? = exactly one of any character


Does NOT recurse through subdirectories (for deleting files) (this is the only &quot;limitation&quot;)
Can specify multiple, fully-qualified path specifications, each being able to handle wildcards
Can remove entire non-empty subfolder structure!! (might need to run a few times to delete everything)
Must be a member of the sysadmin fixed Server Role in order to execute (use Module Signing instead of adding application Login to sysadmin fixed Server Role; please see: Safely and Easily Use High-Level Permissions Without Granting Them to Anyone: Server-level )
Backported to SQL Server 2017 (possibly in CU18)

For complete details, please see my post:
sys.xp_delete_files and ‘allow filesystem enumeration’: two new undocumented items in SQL Server 2019