Official comment
Select a single file (or all files) and press Command + I, un-tick the LOCKED checkbox:

Even if you try to delete and it warns you, it's possible to click Continue and the Finder will delete the locked files.

These are the saved recordings on the USB from the XDJ-RX2, which are being very troublesome to get rid of. It obviously won't show up inside Rekordbox nor delete from mac finder cuz they are locked.
This is infuriating at the very least, as we're a DJ academy and students often use this feature to record their mixes and transitions. The only plausible way seems to be to format the drive, which is a major inconvenience for the fact that all the music and mixes have to be reloaded.
Please let us know how to fix this issue ASAP.
Select a single file (or all files) and press Command + I, un-tick the LOCKED checkbox:

Even if you try to delete and it warns you, it's possible to click Continue and the Finder will delete the locked files.
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Seconded. I'm trying to delete a XDJ-RX2 recording from a USB and keep getting a permissions message. The advice from Pioneer DJ in the comment above doesn't work. 
Hi,
Not sure if this is still a problem for you guys, but I encountered this issue also on my XDJ-XZ. Not on all of my recordings, but on some. The unlock-option didn't work for me. When I did that, and copied the recording over to my local hard drive, it showed up as 0kb. I'm not sure why some recordings get this padlock, and some don't.
I solved it by opening the terminal and using the copy command:
cp /Volumes/usbstick/PIONEER DJ REC/001.wav ~/Desktop
Replace the "usbstick" and the recording folder and the .wav file and press enter. It will copy it to your desktop.
Deleting is also possible, be careful to fill in everything correctly or it might delete the wrong files or folders:
rm /Volumes/usbstick/PIONEER DJ REC/001.wav
If you have a permanent solution please let me / us know; thanks.
So I'm dealing with not being able to unlock my files? I'm not sure if it's a MacBook thing or something to do with my xdj rx2. When I try to upload the file on SoundCloud as is, it tells me the file is too small. I'm assuming it's saying that because the file is locked? Cuz all my recordings through the rx2 come out as .wavs so it doesn't make sense?