Should deleted conversations be deleted across devices?

When I delete a conversation on one device, it is NOT deleted on other devices. Why?

I have three devices—MacBook, iPad, iPhone. Same iCloud account on all, and “Enable Messages in iCloud” is enabled on the MacBook.

Over on this conversation, Apple recommended the one and only answer that said messages will be deleted across devices. Therefore, this must be a bug or a setting that I haven’t found yet.

Any ideas anyone?