Open the Messages app on your Mac
Open the conversation that contains the message
Delete a single message: hover over the message, click the More (three dots) button, then select Delete
Delete multiple messages: click and drag to select messages (or hold Command and click multiple messages), then press Delete
Delete a whole conversation: right-click the conversation in the left sidebar, then select Delete Conversation
If prompted, confirm the deletion
To delete messages for a specific time range: open Messages, go to Settings/Preferences, then choose the option to delete messages/history (if available in your macOS version)