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You will not find information or content that you have deleted because this is deleted from Facebook servers.

So if you delete it, it won't be in the download.

Can you delete entire Facebook Message conversations?

I think I saw that option before. I know I definitely can delete messages and they don't appear in the download.

Doesn't mean they really deleted them from their servers...

The default is Archive, just like Google Hangouts but you can delete conversations by clicking the Cog icon on the thread.