Yes it's a BIG bug !!!
Yes I have the exact same issue and can’t seem to fathom out how to fix.
Ive found that if I delete an individual message within a conversation then the deletion is reflected on my iPhone and iPad. However if i try to delete the full conversation from the side pane by selecting the x of swiping on the trackpad and clicking on the red delete. Then nothing happens on the phone and pad.
Tad annoying. Also filed a bug report since it started happening a while ago. But nothing back as yet.