How to delete multiple identical components on different pages at the same time

Yeah that’s not a feature.
However if you don’t need that component anywhere on your site, you could basically edit it and empty it out, so that all that emits is an empty / hidden div.

You may also be able to edit it, and then on the settings pane, mark the root element of your component as visibility = hidden. That approach wouldn’t delete that content entirely but would prevent it from publishing into the page.