This is not a Bug related to XF Core. So, feel free to close this thread.
I found a way around to solve my problem by deleting all the conversations attachments.
This is what I did since XF will delete all the attachments marked as "attach_coun = 0" with the "Hourly clean up" Corn.
So, I have just updated the "attach_count" for all the attachments related to the conversation and run that Cron.
SQL:
UPDATE xf_attachment_data
INNER JOIN xf_attachment ON xf_attachment.data_id = xf_attachment_data.data_id
SET xf_attachment_data.attach_count = '0'
WHERE
xf_attachment.content_type LIKE 'conversation_message'