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Hi GYO11,
Have you tried clearing the data for the Messaging app? If not, please try this - just go into Settings > Apps > All > Messaging > tap Messaging > tap Clear data > test again & let us know whether or not it has helped.
Have you tried to delete a smaller amount of messages instead of all just to see if this can help? Othwerise, I suggest that you make a factory reset on your device since you are unable to delete the messages and clearing data for the application was not successful.