When I delete a message on chat, it just change the content to:
Is there a way to delete it completely?
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This is not a bug and there is no way to delete it permanently. Same way that posts on the sites are only "soft deleted", so that certain users (OP, 10k rep users, moderators, etc) can still see them, this is also the case with chat messages.
Even after deleting a chat message, any user who is Room Owner of the room where it was posted, and any diamond moderator, can still see the message.
However, such messages will not appear in search results, and not appear for ordinary users in the transcript, so I can't see any problem.
Same with posts on the sites, if you really want a "hard delete" so that nobody can ever see it again, you should contact the SE team via "contact us" link in the footer, and explain why.