Removing Messages from iCloud (but not locally)
First I would turn off Messages in iCloud.

You can turn off Messages in iCloud just for this Mac or for all devices where you use it. 

Choose Messages > Preferences, click Accounts, then select iMessage in the Accounts list. 

Deselect “Enable Messages in iCloud.” 

Choose one of the following: 

Disable All: Turns off Messages in iCloud for all your devices. Messages will no longer be stored in iCloud and will instead be stored on each device. 

Disable This Device: Turns off Messages in iCloud for your Mac only.

Once that is done you can delete the messages in iCloud.