You can use https://github.com/victornpb/undiscord to mass delete either your entire account/a server/a channel’s messages you’ve send.
I’ve send an email to Discord regarding this problem and they gave me this answer
We try to balance the interests other users have in a conversation, as well as the ability for us to provide the service as a whole. Discord is a communications service and its users have a legitimate interest in having access to content sent to them. Consistent with GDPR, Discord balances the privacy interests of the user against the interests other users have in a conversation and the ability for us to provide the service as a whole. Because of how Discord works, content is sent to other users, and those users rely on having access to that content. If a given text channel were suddenly missing important context, it would be confusing to other users or possibly mislead those users about what happened in that conversation.
…
Your Data Package should help you identify any messages, images, or files that you would like deleted in spaces that you currently cannot access. If you provide us with a list of the Message IDs and the corresponding channel IDs that contain personal information, we will gladly work to delete the messages you identify.
Who’s going to be the first to send them about a million message IDs?
IIRC discord also doesn’t delete images from your local when the image message was deleted, so if someone sent you an image and they decide to delete it you still have a copy of it in your disk.