That's different. Two different protocols. Two different systems. Etc.
E-Mail uses something called imap. So when you delete something from your e-mail account, it sends a message back to the imap server to remove the message from your server. Then everything gets sync'd to all devices, so it removes the e-mail from your inbox on your other devices.
iMessages just pushes out the messages to devices (and whether or not they were read). There is no syncing to the server regarding deletion. So those messages are stored locally on your device, and when you delete one, you are only deleting the local copy. So you gotta do it everywhere. If you have a Mac, iPad, iPhone, and Watch, you'll have to do it in 4 places.