How do I delete all messages at one time; I have tried according to the Help instructions but does not work. It is so annoying to delete on at a time!

That specific Feature in macOS not available unlike in iOS

Hi,

What did you try?

Try clicking on the uppermost message, then hold down the Shift key, then click on the lowest message on the list that you want to delete. This should select/highlight the upper and lower message and all those in between. Then click the Delete key.

EDIT: I just realized you were asking about Messages, not Mail. My instructions are for Mail, sorry about that.