Thought I'd best comment as i had the same problem and finally got around to looking into it (i have just made a different jail location) this post helped me out!
chflags command got me on the right track, turns out its the related chattr before the rm command that fixed it for me:
http://en.wikipedia.org/wiki/Chattr
i used the -R flag (recurse all subdirectories) and -i (is to unset the immutable bit):
chattr -Ri path/to/directory
I used this command out side the jail,
I have found to do the same thing inside inside the jail (not to delete but to gain accees to rights) chflags does work but the command is :
chflags -R noschg path/to/directory