Supposedly, once every participant has left a conversation, it gets deleted. However, once someone has left a conversation, they still show up as a participant, even if they chose not to receive any future message. As such, it's impossible to know for sure whether every participant has really left. The site should show a status next to the participants' names such as "left the conversation, not receiving future messages". Well, I played around with the XenForo Admin Demo and it seems to be an inherent limitation of the XenForo software. However, it might still be possible to implement the functionality as an add-on. Edit: I found the Exclude From Conversation add-on, which gives the ability to explicitly remove participants to the creator of the conversation. However, I don't know how it behaves with participants who already left. There's also the Conversation Essentials add-on which adds quite a few features, including the indication I want to see, and the ability to kick participants as well.
This has been suggested before. There's a few problems with both of these addons. 1st one isn't updated and doesn't delete a message and is kinda pointless and a waste of Assembler's limited resources. As for th 2nd, It's a yearly fee and cuts back into Assembler's funding again. XenForo 2 is going to be out in the next year or so and all these paid addons will break and if they're not ported to XF2 then Assembler has wasted funds.