How to turn SELECT statement into a DELETE statement
You can just use the select statement in the where clause and just select for the element you are matching on

DELETE FROM message_cus_board 
WHERE message_id NOT IN (
    SELECT message_id 
    FROM message_cus_board mcb
    WHERE mcb.board_id IN 
        (SELECT mb.board_id 
         FROM message_boards mb 
         WHERE mb.customer_id = :customerid 
         AND mb.universal_board = 'Y'))