To delete a message, just click on your messages and then tap the three dots next to the one you want to manage. You’ll see two options: Delete for yourself or Delete for everyone. This means you can completely remove messages you’ve sent, but for messages from others, you can only delete them from your own view - they’ll still be visible to the other person.
If you’d like to close the conversation, click the three dots at the top of the chat. A menu will appear with options to Close, Clear, Report, or Block that user.