I'm just ticking the box on the right hand side of the message and clicking delete?
scrolling to the bottom of the page, there's a delete thing that I never seen before

When I click on it after selecting a message it shows this:
Delete Messages
Deletion Options 'Soft' delete - Leave "Deleted" Message
Reason for Deletion
Deleting 1 message(s) from 1 user profile(s).
Sorry I can't work out how to do screenshots, I'm dumb, have to copy paste what I'm seeing, then it redirects back to my page and comes up with what I said on the first post