You can delete individual messages immediately after reading them or from the Inbox page.
At the top of your dashboard, click the message icon to open the Inbox page.
Click the message you want to read.
On the top right, click the Delete button, and then click OK to confirm.
From the Inbox page, select the checkbox for the message you want to delete as depicted in Fig 2.
Select the Delete option from the drop down.
Click OK to confirm.
For more information, watch this-