That's a very wacky take.

A general privacy principle is that if the user requests the service provider to delete the user's data, then the service provider should comply, unless there are legal injunctions.

It's arguable about user expectation for direct messages on twitter, given there is a sender and receiver and Twitter in the middle, but what is not arguable is that if both users delete the message or their accounts, then the messages should not be retained by the Twitter.