It is really simple to delete whole conversations without marking and deleting each and every single message. 

Note: Deleted conversations can't be restored.

Android 10 | EMUI 10.0
Delete conversations -  Open  Messages
Delete conversations -  Tap and hold a  conversation
Delete conversations -  Tap on  Delete
Delete conversations -  Confirm with  Delete
  1. Open Messages
  2. Tap and hold a conversation
  3. Tap on Delete
  4. Confirm with Delete

Huawei Instructions