iMessages not deleting across devices

I have iPhone 12 Pro max, MacBook Pro 2013 running the latest Mac OS, and a 2021 iPad Pro. My messages sync across each device. However, if I delete a message one of the devices, it remains on the other 2. Based on the instructions provided on apple support, there should be a preference setting on the Mac messages to "Save history when conversations are closed' but that is not shown on my Mac.