Well it seems it does not work the way I thought it did because if you clear all and then leave the Messages section and say return to Dashboard for instance (or any other section for that matter) and then return to Messages all the original messages are still there! So I thought maybe I had to press the Refresh button after the Clear All but alas that did not help either.
Does this feature not work or does it just not work in the way I expect?
I am running My Media on a Windows 10 PC Version 1809.
My Media version is 1.3.121.0
It's just deleting hundreds of records (by clicking on the little cross on the right-hand side can take a long time, plus I run the risk of RSI !

Thanks for any help you can shed on this.