Apparently this issue was common in XenServer 5.x series, was fixed, reappeared in 6.0.2 and fixed again. However I'm still seeing it in 6.2.

First, forget all the VDI's on the SR you're having trouble with. This is safe to do without downtime because any VDI's in use will NOT be forgotten.

for uuid in $(xe vdi-list sr-uuid=YOUR-SR-UUID-HERE --minimal | tr ',' "\n"); do xe vdi-forget uuid=$uuid; done

Once that is done, you can open XenCenter and rescan the SR which will display all these missing snapshots which you can then delete.