I didn't know of the Conversation feature until recently, and it seemed great... However, I attempted to delete a single message out of a convo -- and the entire conversation was dumped. I didn't look super closely at the button, but I thought it just said "Remove Message" like all the others.
Was chatting about this in the shoutbox and Ghost mentioned having the same experience earlier.
The contents have been retrieved from the other party to the convo. Just a notice.