You can delete the history of direct messages you send to users and group chats. However, note that when you delete the chat history, it will clear your end-of-chat history, but the chat will not be cleared for other users in that conversation.
To delete the chat history, do the following:
Go to the History module and select the chat of the user.
In the chat window, select Actions and click on "Clear Chat" option.
In the confirmation pop-up that appears, select "Delete" to confirm.