On the Oppo-Smartphone you can delete single or multiple SMS messages, and by tapping and holding a message a pop-up window opens where you can start the deletion process.

Deleting multiple messages from a conversation is a bit cumbersome. After tapping and holding a message, you have to select "More" in the pop-up window. This opens the edit mode for the whole chat. By selecting multiple messages you can delete several messages at once.

Android 10 | ColorOS 7.0
Step 1:  Open the  Messages -App
Step 2:  Open  Conversation  you want
Step 3:  Tap and hold the  Message  you want
Step 4:  Tap on  Delete
  1. Open the Messages-App
  2. Open Conversation you want
  3. Tap and hold the Message you want
  4. Tap on Delete

Oppo Instructions