I don't quite understand"a PM thread" , but if the request is to delete an entire direct message (ie from all participants) then the AndyB addon linked above is exactly what will do this
Without intending to diminish Andy's amazing work, do you think it's fair for someone to pay €35 for a feature that should be available to xenforo administrators by default?
And especially when all we need is such a simple feature as deleting private messages?
Edit:
And if you still "don't quite understand", i am talking for messages located here
All I didn't understand was the terminology PM thread.
Deleting direct messages (for all participants) is not something you can do in xenForo, each party has to leave so I presume what you mean is remove the direct message from all participants' inboxes, which is what that addon can do.
If you want free addon to do it you'll need to wait a bit for someone else to answer. Or else try in the database, but I would find that a bit risky as there's a few tables involved.
The $35 for Andy's addons is good value especially if you install several of them