the reason you can't delete it permanently is in case you get in a fight with another member through VM's, the staff can still see them, as they are only "soft deleted".
Even though for you it says "this message has been deleted", only you and the staff can see that. Any regular members can't see it.
I know a few years back I asked someone to delete my VM's because they were getting spammy, and the site wasn't very active back then, so they were happy to do it - but i'm not too sure about now. I guess the only way to know if you can get them deleted permanently is to message a staff member.