In addition to a single SMS, we can also delete an entire conversation on the Samsung device, which removes the entire chat, including any messages/SMS it may contain, from the device. It is no longer possible to restore it.

Android 10 (One UI 2.0)
Step 1:  Open the  Messages -App
Step 2:  Tap and hold desired  Conversations
Step 3:  Tap on  Delete
Step 4:  Confirm with  Delete
  1. Open the Messages-App
  2. Tap and hold desired Conversations
  3. Tap on Delete
  4. Confirm with Delete

Samsung Instructions