I think you're right, @Bob297 . I've misunderstood.
@Fabio206 the guest sent the passport scan to you directly via the messaging because of your visitor rules, is that right?
It would make sense to be able to delete that sort of thing. I do think messages are forever, though, and archiving is all you can do on your end.
Since the message came from the guest, she could try calling Airbnb to have it deleted. Her case may be made stronger by the fact you have indicated you are in agreement with her.