There is no way to massively delete your past messages. In addition to that:

1. If you close a private message window and are not friends with the person or share a server with them, there is no way to open it again, so you've lost access to that chat history and can't delete your messages from there.

2. If you get banned from a server, you lose access to that server's history and can't delete your messages from it.

3. If you delete your account, your messages are not deleted and stay in all private conversations and servers forever.

Their data management is simply terrible. Personally, I would've deleted my account already, but I don't feel comfortable knowing I can't delete my past messages and that they may add that option later.