It would appear to be a problem with your server. I'm guessing nginx, but let me know if not. Take a look here to see how to compile ngninx with HttpDavModule. There are other servers that have issues with this, but nginx doesn't have it by default.
If you're running Apache, check your module configurations to see if you're disallowing them or not. Here's a post about a previous solution. Unfortunately, this problem is typically specific to modules that have been installed. On a vanilla installation, however, you can often just allow for DELETE (see your config file, as well as the OP of that link)