Exception:

Can’t delete an active, waiting, or new Messaging Session. Try again after the session ends.

Resolution:

In Salesforce, Messaging Session records with a status of Ended or Error can be deleted.

Help Article:

https://help.salesforce.com/s/articleView?id=sf.messaging_life_cycle.htm&type=5

Workaround:

In all types of messaging channels, a session is ended automatically if the customer sends an opt-out keyword.

Help Article:

https://help.salesforce.com/s/articleView?id=sf.messaging_auto_end.htm&type=5