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)
Step 1:  Open  Messages
Step 2:  Tap and hold a  conversation
Step 3:  Tap on  Delete
Step 4:  Confirm with  Delete
  1. Open Messages
  2. Tap and hold a conversation
  3. Tap on Delete
  4. Confirm with Delete

Huawei Instructions
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