I very freely delete wall posts or comments that I think are out of place. Usually, it only happens with two people. The first is an old college friend with a wild streak and a rather blue sense of humor. She's a great pal, but I'm Facebook friends with my mother, grandmother, young cousins, and students (I teach horse riding lessons to kids). She's asked me why I've deleted and I told her honestly (but still friendly) that I just didn't think that would fly in the eyes of dear old Gram Grams and others. On that note, some of my older family members don't always understand how comments work, particularly my one aunt, and she recently started up a conversation with me about how work was going and whether or not I had ever managed to get some stains out of some clothes in the middle of a rather heated political debate. I simply deleted her comment and replied in a personal message and it was no big deal.
So to sum up, it's my wall, I say what goes. If it's inappropriate, it's gone, if it's simply out of place, I try to redirect. I've also been on the other end of it, where I commented on a friend's status and she had someone have a big long conversation with her. This was before Facebook changed how their notifications work and you'd get a notification for every comment and I woke up the next day with 20-some notifications which continued all day and constantly alerted me on me phone at work. In that case, I deleted my comment to get out of the notifications. I don't think that's rude either.