I've been using Windows 8 since August and from what I can tell, you cannot delete messages from within the People hub. You actually have to log into the web version and delete them. Now, before any bashes on the People hub, the People hub is not a complete replacement app to view Facebook. People Hub gives you enough to view your messages, newsfeed, and be able to post. This is something I had to understand myself when I first started using Windows 8.