Unfortunately, they're not doing a good job at deleting them. If you press the "Delete Account" button, all it does is anonymize your profile, and leaves all of your messages intact. One of the reasons I avoid using Discord whenever possible.
I can't think of a good reason why the presence or effectiveness of a delete button should change what you write online, even in a so-called "private conversation", or whether you use a certain platform.
Delete is useful, but it shouldn't change what you're willing to send online because delete doesn't time travel and unsend the message.
If you are typing anything you desire to stay hidden forever into a completely unencrypted and openly data mined and brokered (read your privacy policy) cloud-based solution then I have a bridge to sell you...
