Removing Messages from iCloud (but not locally)
Solution 1:
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.