Not possible via the front-end or dashboard at the moment, but messages are stored as hidden comments without a post, so if you have some tool for viewing the database (like PHPMyAdmin) you can delete them from wp_comments table.
Ah ok thank you, and is there a way to put a small icon on the message to notify of a new message or that the message has not yet been read?
Another question that has nothing to do with the message, i would like to translate the slug “listing” and “listing-category” in french but I don’t know how to do that. How can I proceed? I already install loco translate but I can’t find this text.