This seems like an obvious omission from the API.
It is now Possible:
- https://learn.microsoft.com/en-us/graph/api/chatmessage-softdelete?view=graph-rest-beta&tabs=http
- https://learn.microsoft.com/en-us/powershell/module/microsoft.graph.users.actions/invoke-mgsoftuserchatmessagedelete?view=graph-powershell-beta