I have a directory mounted via smbfs. I can create a subdirectory with thunar, however I cannot remove any directories. If I try to remove the directory from the terminal, then I get an error message 'device or resource busy'. If I then change to a parent directory in Thunar, the error message will be the same. It seems to be connected with the location bar on the top: If I change to a completely different directory (where the directory to be removed is no longer in the location bar), then I can remove the directory from the terminal. Of course the bug I just described occurs only on the smbfs mounted directory.
Do you use FAM or Gamin? In case of Gamin inotify may prevent the directory from being deleted, you might want to disable inotify for SMB mounts.
It's a limitation in smbfs, when used together with FAM.