He's talking about iMessage.Are you using Pop3 or Imap.
If the former switch to the latter, if the latter then I don't know cause it should.
If I delete a message off my iPhone i wishes it delete on my iPad and iMac too but it doesn't.
But if I send a message on the iPhone it appears on them all so why can't it delete.
It never has had the ability to delete from all. You delete from one and that's it. Contact Apple and ask them if the feature can be considered.
http://www.apple.com/feedback/
Done let hope they listen.