Reported in the beta test: https://forums.garmin.com/beta-program/forerunner-965/forerunner-965---public-beta-bug-reports/i/public-beta-version-18-xx/delete-message-notification-process-not-working-correctly
But sadly, still not fixed. Just like many other bugs that are still not fixed.
Come on garmin. Get to work, start fixing the buggy software!