In addition to deleting the entire conversation, you can also delete a single SMS/message on your Samsung device by simply tapping and holding to select and remove the desired message.

Note: The message will only be deleted on your own Samsung device, the message will remain on the recipient's device.

Android 10 (One UI 2.0)
Step 1:  Open the  Messages -App
Step 2:  Open a  Conversation
Step 3:  Tap and hold the desired  message
Step 4:  Tap on  Delete
Step 5:  Confirm with  Delete
  1. Open the Messages-App
  2. Open a Conversation
  3. Tap and hold the desired message
  4. Tap on Delete
  5. Confirm with Delete

Samsung Instructions