Desktop version:
To delete correspondence with a user, tick the checkbox to the left of the mail you would like to delete, and click “Delete Selected” button at the top of the correspondence window. You can also click on the Trash can icon opposite the thread to remove it.
Mobile version:
Open the user's mail, tick the "More" icon in the top-right corner of the screen, and click the "Hide thread" button. Confirm your action.