To delete a custom folder, you will have to remove all the conversations listed in that folder. 

See also this video.

On desktop (MacOS and Windows) or on Wire for Web:

1. In the folder you want to delete, hover the cursor over a conversation.
2. Click Down Arrow ▼ to the right of the conversation.
3. Click on REMOVE FROM “…” to remove the conversation from any folder or on MOVE TO… to move the conversation to another folder
4. Repeat for all the conversations in this folder
5. Once all conversations are removed or moved to another folder, the empty folder will disappear

On Mobile: 

1. In the folder you want to delete, open a conversation
2. Click on the conversation name at the top of your screen, it opens the conversation information
3. Click on the 3 dots … at the bottom of your screen to open more actions
4. Click REMOVE FROM “…” or click on MOVE TO… to move the conversation to another folder
5. Repeat for all the conversations in this folder
6. Once all conversations are removed or moved to another folder, the empty folder will disappear