in iMessage I want to delete the message from all three devices at once

You must enable Messages in iCloud on your other devices. In this way, the messages are synchronized - so if you delete a message on your iPhone, it is also deleted from your other devices.

All devices must be signed in to the same Apple ID.

First, enable Messages in iCloud on your iPhone:

Settings → Apple ID → iCloud → enable Messages.

If you want to activate on your iPad, do this:

Settings → Apple ID → iCloud → enable Messages.

To activate on your Mac:

Open the Messages app → click Messages at the top of the menu bar → select Preferences → select iMessages → check Messages in iCloud.

You can find more useful information here:

Set up iCloud for Messages on all your devices - Apple Support