It seems that in the Java SDK it is not implemented to delete Operations. The REST API supports it. So I'm wondering if I miss something or if this is the case.
Are there any workaround except using a REST Client to delete Operation(s) in a Java Application?
No, currently not (but feel free to send a pull request with an added method).
As background, operations should usually not be deleted by clients, but instead cycled through their process (pending -> executing -> successful/failed). If you delete an operation, it will be not available anymore and you cannot reproduce what happened on a device at a particular point in time. Deletion is usually taken care of by data retention management.