Click on the square with a letter up in the right corner. It will bring up some things. Click on conversations. It is not called Private Message any more. It is called conversations now. Hope this helps you.
Open your conversations.
There will be a small square at the right end of each conversation. Check mark the square of the conversation you want to delete. That will allow a list of choices at the center bottom of your screen. Check “leave” conversation. That will delete the conversation, and also give you two choices to pick from. Check the option you want, then click “save”. Good luck!