Addendum: Tried a number of times to use Unlocker to remove mbae64.sys, unsuccessfully. Finally renamed the file to zz.zz, restarted, and was able to delete the file and directory, and proceed with the clean install. Everything's working fine now...until the next Win10 update.
Windows 10 forced the Anniversary update this morning, ugh. So now, I'm having the same problem: can not delete mbae64.sys. I have had this problem on both Win10 Home and Pro machines each time there is a big Win10 update. The Unlocker utility can remove the file, although running the app and rebooting several times is often necessary. Once mbae64.sys is deleted, the C:\Program Files (x86)\Malwarebytes Anti-Exploit directory may be removed and a clean install may proceed with no problems.