I am using the new VSO scriptable build system with an on premise build agent.
The build publishes the following assets to an internal file share.
In 2015 RTM and currently in VSO, server drops are deleted when a build is deleted but drops to UNC shares are not.
We have work on our backlog to address this.
EDIT:
In 2015 QU2, this is enabled. Also if you on-prem agents against VSTS in recent sprints it works. It queues the job to delete the share with the same demands that the build was built with. This likely lands on an agent running as the same account that wrote to the UNC share. It uses the account the agent runs as to attempt to delete the share (best effort)