Note that 'delete' = 'leave' in Xenforo. If you go to your conversations, there's now a "Conversation Tools" widget in the upper right. From there, you can export all conversations (or leave all conversations). To delete a specific conversation: go to your inbox and select (click on the box left of the subject line) conversations you want to 'leave'. Click them and then click 'other action' and 'leave conversations'.