Ok yes I see, so you want to delete all conversations in the app at once.
From the app itself, you’ll have to delete one by one or select in the modify section, indeed.
But what you could also do (to gain some time and energy on older messages) is go to Settings > Messages. There, you should have an option like « Keep messages » and you can chose indefinitely, 1 year or 30 days. Changing to 30 days will delete all your older messages and attachments. I’m not sure that’s what you’re looking for, but it could help at least delete part of your messages at once and make some space on your phone :)
Screenshot in French :