Hi,
Multiple Conversations (iMessages) or Chat (Buddy connections) cannot be selected using shift + click to be deleted or closed.
In an open Conversation or Chat individual IMs or Messages also cannot be selected to be deleted.
Highlighting one message and then using CMD + Backspace will produce the Pop up to delete the whole Conversation/Chat.
If you have Messages Menu > Preferences > Messages > Save on closing chat then you have to close the chats or conversations individually to be saved.
They do get Saved "en masse" as it were on Quit (as in Per session).
The Sync process for iMessages is only "Display on all Devices" and not any more sophisticated than that.
It means you have to delete the conversation manually on each device.
An option to delete a Conversation on a Sync basis would create even more pop ups to ensure people were undertaking the exact action they wanted.
10:37 PM Monday; April 22, 2013
iMac 2.5Ghz 5i 2011 (Mountain Lion 10.8.3)
G4/1GhzDual MDD (Leopard 10.5.8)
MacBookPro 2Gb (Snow Leopard 10.6.8)
Mac OS X (10.6.8),
Couple of iPhones and an iPad
"Limit the Logs to the Bits above Binary Images." No, Seriously