On XenForo, you can only leave a conversation, which makes sense if you think of it as an email as in an email, you can't delete it once it's sent. There are 2(+) parties to a conversation, and the other user may not want to delete the conversation to preserve details.
View attachment 312628
To remove a conversation completely, you would need to remove it from the database or find an add on to delete it (if there are none, do custom development to delete the conversation).