I think this answers your question:
https://www.facebook.com/help/192631610782421
In particular, "Note: Deleting a message from your inbox will not delete the message from your friend's inbox."
As I understand it, even if both sender and recipient "delete" (which really only means "hide") messages, they still exist on Facebook's servers. After all, the point of Facebook is to persuade people to give it data from which they can make money, so why would they delete any data?