Yes there is old Blind one.
Check off the boxes of the messages you want to delete.
There is a delete button right at the bottom of the boxes just before your first message that you can read. It's basically opposite of the other delete button at the top of the boxes. Heres a pic:
Select a couple to try out first to see if it works.
Yes, it does take time for the PM page to load when there are lot's in there.
I just did a few deletions & I had no problem.