I had posted on this topic before in my previous blog. SQL Server 2008 is also affected by slow purge procedure core.sp_purge_data as well as deadlocks in the purge procedure. This issue was fixed in SQL Server 2008 R2 SP1. For SQL Server 2008, the fix to the purge procedure has been done in Service Pack 3. Those of you using MDW to collect performance data, should apply SP3 as soon as possible. This will greatly reduce the purge procedure run time and your jobs will run faster.
The KB 2584903 has been updated to include SQL 2008 as an affected product. I’ve posted this on the Connect Bug as well here –> https://connect.microsoft.com/SQLServer/feedback/details/657148/management-data-warehouse-mdw-purge-job-proc-performance
Just applying SP1 for R2 or SP3 for SQL 2008 will not be enough to get the MDW purge procedures updated. Once the service pack has been successfully installed, you will have to run through the Configure Management Data Warehouse Wizard from SSMS to get the purge procedures updated with the new T-SQL code.