If you'd like to delete your Discord messages en masse, I made an open-source tool for that [1]. It leverages a fairly undocumented process using your Discord data package, providing a UI to explore it and choose what to export. The tool gives you step-by-step instructions and a CSV file that Discord expects when you contact their privacy team. It works across all channels in both servers and DMs, even those you no longer have access to.
[1]: https://discorch.org