And the straight delete function will delete all existing messages in a conversation if the "parent/root" message is selected, whether the conversation is expanded or not.

When I select a root message in a conversation, and hit delete, I get a dialog box that says, "Delete applies to all items in this folder that are part of the conversation," with a checkbox for "Don't show this message again," and Delete selected messages and Cancel buttons.

This presumes, of course, that conversation view is in use.
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Brian - Windows 10 Pro, 64-Bit, Version 2004, Build 19041  

The purpose of education is not to validate ignorance but to overcome it.
       ~ Lawrence Krauss