Had the same problem, stored messages from years ago . When you do delete ,your only deleting one page of them, the one your viewing.
go to inbox, delete, that went to the trash bin, you have to go there to delete again. Do the same for all the sections to clean everything out.
sent messages /posts ,select all(that's only for the page you see, not everyone of them) hit delete, now go to trash and delete them again.
Then go back and do the next page ,and the next page and so on.
Have to do this multiple times to depending on how much junk you have in there.