I just realized that it was actually possible now in the web player O_O' took me very long to try it as there is no indication that it's even doable ^^
So I would like to ask if it is possible to add such a possibility with the android app ? or maybe a possiblity to select multiple songs in the playlist to remove them in one action ?
One way to do that could be adding an extra button on the playlist (like shown below)

Another way, would be much complicated (I guess) but ES file manager does it very well : instead of opening a full-screen menu when tapping a long time on a title, it opens a menu below with delete/move options and each pin becomes a box you can tick on or off (like shown in the ES file manager app below)

that would be awesome (I mean more than it already is)