This command is not deleting backups:
EXEC xp_delete_file 0,N'F:\path\cms',N'*.bak',N'2014-01-30T21:08:04'
Also tried
EXEC xp_delete_file 0,N'F:\path\cms',N'bak',N'2014-01-30T21:08:04'
and
EXEC xp_delete_file 0,N'F:\path\cms',N'.bak',N'2014-01-30T21:08:04'
SQL Server Agent has permissions on the folder.
Solved: Both users for agent and sql server service need read/write/delete permissions on the backup folder.