Here are the instructions to remove all shortcuts to a RDM session without looping through all sessions.
Before deleting the session, you have to clear the Group property of the session. It will remove all shortcuts to this session and then it will be moved to the root. After that, you can delete the session with Remove-RDMSession.
The RDM commandlet to clear the Group property is :
Set-RDMSessionProperty -ID YourSessionID -Property "Group" -Value ""
Just replace YourSessionID by the GUID of the RDM session to be deleted.