Bump
Same problem here... My iCloud storage reached the 5gb limit so I tried doing some house cleaning, mostly deleting attachments in Messages. With photos sent or received with my wife, there are many photos that just will NOT delete. At first I thought it was a 'refresh' kind of issue so I'd exit that screen, even back all the way out of Messages and go back but at this point, there are clearly photos that I have attempted to delete multiple times with no success. Scrolling through the conversation and deleting them that way isn't practical. There's a newer "share" setting (can't find it right now) but I've already turned it off from earlier attempts at fixing this.
I did upgrade to 50gb iCloud storage and interestingly, my Messages storage in iCloud went from 4.6gb to 8.3gb in a matter of 2-3 days....
I'm also to the point of changing the message retention setting from "Forever" to "1 year".