That is one of the interesting parts on XF; the only way to delete a PM conversation is if both/ all parties delete it.
Not that we would need to delete anything for any specific reason.... shutting up now.
Just leave the conversation. There will be less need going forward now that it is a conversation though vs individual replies stacking up, if you allow it they can still reply to restart. But right now every individual sent/recieved message both on my end and that others users had on their end seems to have populated in my inbox.