You can delete individual messages immediately after reading them or from the Inbox page.
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At the top of your dashboard, click the message icon to open the Inbox page.
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Click the message you want to read.
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On the top right, click the Delete button, and then click OK to confirm.
Or
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From the Inbox page, select the checkbox for the message you want to delete as depicted in Fig 2.
Fig 2.
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Select the Delete option from the drop down.
Fig 3.
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Click OK to confirm.
For more information, watch this-