The SYSTEM account owns the Sysmon folder. You can delete the folder using many different ways. One of which is to boot into Windows RE and delete the folder.
Another option is to recursively take ownership of the folder using the takeown.exe & icacls.exe commands.
The 3rd option, probably the easiest one, is to download PsExec from Microsoft, launch cmd.exe as SYSTEM and nuke the folder.
Download PsExec64.exe and launch CMD.exe as SYSTEM. For more information, check out this article → Run a Program as SYSTEM (LocalSystem)
In the Command Prompt (System) window, run:
rd /s /q c:\sysmon