Messages on Mac

See if this article helps. It covers deleting individual messages, or all messages.

Save or delete text conversations in Messages on Mac - Apple Support

Here's an excerpt from the article:

• Delete a conversation: Select a conversation, then choose File > Delete Conversation. Or, if you have a trackpad or a Magic Mouse, you can also swipe left with two fingers on the conversation in the sidebar, then click Delete.
• If you use Messages in iCloud, deleting a conversation on your Mac deletes it from all of your devices where Messages in iCloud is turned on.
• Note: To delete individual messages (including text, photos, videos, files, web links, audio clips, or emoji) within a conversation, select one or more messages in the transcript, then press Delete.
• Clear all messages without closing a conversation: Choose Edit > Clear Transcript.