Why does the cd_transport.log show warning: ' JAXBUtil - State file removal failed' and how to address it?

You might come across this type of warning being logged in your cd_transport.log or cd_core.log of the server where your Transport Service is running: WARN JAXBUtil - State file removal failed: TRIDION_HOME\bin\transactions\tcm_0-1234-66560.state.xml... Read the full text.