Go to your private messages, put a check mark in the box that says "messages" in the upper right (red circle, figure 1) to check them all or you can put a check in just the ones you want to remove.
After that scroll down and click the drop down arrow next to "Selected Messages" (red circle in Figure 2" and choose "Delete" then click "Go".
This will remove all unwanted PM's or delete them all entirely.
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