How can I delete messages across all devices on iMessage?

I totally agree with this improvement. This is very much needed to improve quality life. It's nice that you are able to receive messages on all your devices, but it's a waste of time to need to delete messages one by one on each device

So, how does that help with deleting messages across all my devices?

Does each device have iCloud for Messages turned on? https://support.apple.com/en-us/HT208532

Had you read the support document provided, you’d have seen this section:

“Here's how it works

Messages in iCloud are updated automatically, so you always have the same view everywhere you use iMessage. When you delete a message, photo, or conversation on one device, it’s removed from all of your devices. And since all of your attachments are stored in iCloud, you can save space on your device.”

iCloud for Messages is what you’re looking for https://support.apple.com/en-us/HT208532