Yes ther is a way to do what you want, delete one, many, or all of the files that you downloaded. I have no trouble deleting downloaded files, one or many but never all, when I want to clean up my download window of old files. Select one file, then do a CNTL-A to SELECT ALL, then click the "X" at the bottom of the download window. Respond ass you choose to the dialog. It may take a while if you chose to delete the files too depending on what kind of storage they were saved to.
Like Ody, I have not had any problem doing this for many, many versions now except for getting impatient waiting for files to complete deleting from USB storage. If you saved to an HDD or SSD it will be much faster.
You can check that Maxthon Downloader is working properly is working properly by clicking on the "X" to the right of one of the files you want deleted. That will do one file to verify that deleting is working. Then you can select more/all of the rest for the next round.