I don't see this posted anywhere, so I'm posting it as a possible bug.
A detailed description of your issue:
Messages require multiple entries to delete, if you do anything besides read the message.
Steps to replicate the issue you are having.
Open message to read it. Click 'send message'. Send the message. Hit Delete -- nothing happens. Hit 'Nevermind'. Go back into the message. Hit 'Delete'. Message deletes.
The platform for your game
Win10
Version of My Colony (this can be found on the title screen)
.43, .44