How can I delete a message or messages simultaneously on all my devices?

There is every reason to use a common AppleID across your own devices - amongst which are the ability to share and synchronise data between your own devices and use paid services across your devices (pay once and use across them all).

Be aware that any App purchases and paid subscriptions are permanently tied to the AppleID account from which the purchase is made - so choose the AppleID from those that you have already used with some care.

You simply and individually sign-out from the currently used AppleID account, that you don’t wish to use, on the device(s) that need to be changed. You can sign-out here:

Settings > [Your Name / AppleID] > Sign Out

Assuming that you are referring to Message within the Apple Messages App - and that all your devices are signed-in with the same AppleID - reading or deleting a message will synchronise across your devices.

Look here:

Settings > Messages > Send & Receive > [AppleID]