Be sure you have updated View NX2 to the latest version. The latest version is 2.7.1. Updates can be downloaded from Nikon USA. Nikon Message Center is worthless and don't rely on it.
View NX2 embeds any edits in the NEF file as an instruction set with changes - there is no XMP. The NEF file also contains a small basic JPEG from the camera, but it is replaced with a larger JPEG if you make edits in View or Capture. On the D800 files, updating the JPEG can take a brief moment and make processing seem slow especially if you have multiple files selected. At the bottom of the screen is a progress bar that shows the progress of updating images.
View does not recognize the XMP sidecar files and does not delete them.
In View you can select as many images as you want using the Control key, or groups of images with the Shift key. Once selected you can either right click and select delete, or simply use the Delete key.
I use the Filter to identify images by rating. I can look at just selects, just images to be deleted, etc.