I'm having a different issue deleting items in Messages since upgrading to Big Sur on a MBP 16".
The first is you must now click & hover a few seconds over the first & last items in the range you want to delete. Previously you just clicked the first one, shift clicked the second & everything between was instantly highlighted.
The bigger new issue is after you finally get the items you want to delete highlighted & hit delete, then answer the "are you sure" pop-up, only a portion of the items actually get deleted. If you select a fairly large grouping you can keep selecting the remaining items 2 or 3 times before they finally all go away.
This doesn't happen if you only select a handful of items but select more than 8 or 10 & some do not get deleted. I have scrolled back up over the selected range to confirm that everything from start to end had been highlighted, yet many of them will still be there after the delete process.
I hope this is not expected behavior as it's certainly annoying & definitely NOT an improvement.