Why do messages I delete on one device show up later on my other devices

iOS continuity is tied to your iCloud account, so even if you sign out of iMessage on that device, if linked to your iPhone or other devices via the same iCloud account, then message sharing will continue.

If you don't want messages to come to that device, then disable it in the message forwarding settings on your iPhone, or sign out of iCloud on that device.

iOS continuity (Use Continuity to connect your Mac, iPhone, iPad, iPod touch, and Apple Watch - Apple Support) ensures that your messages are delivered to all your connected devices. But messages on each device are treated independently - that is, deleting a message on one does not synchronize the deletion across all. Once received, each devices message are then independent of each other device.

If I delete a device from my Apple Id, then would that device I just deleted still receive iMessages that I am sending back and forth?

So if I remove the device via Apple ID and iCloud, then the device (Macbook) should no longer receive my iMessages that are being sent back and forth from my iPhone? Correct?