Is 'leaving a conversation' and choosing the second option the same as deleting a private message? I like to keep a fairly clean inbox and delete my old messages but at the same time I don't want to be rude and come across as ignoring the other person. Just wondering how that works exactly. Thank you!
The first option will delete the PM from your inbox so you can't see it any more. But if the other person/people send a message, it will appear again.

If you choose the second option, even if they carry on the conversation you'll be none the wiser. So they probably will think you're ignoring them!