Cannot delete Asana DMs

[Freelensia]

I have configured Slack with Asana. I connected with my Asana organization. Now whenever I get a notification in Asana, I receive a direct message in Slack.
However I cannot delete Asana messages. There is no delete message in the menu (see pic).

Running this code against Asana DM shows that the msg exist:

However none of them could be deleted:

The code we used was:
slack-cleaner --token xxx --message --direct asana --user "*" --rate 1

This is a problem because there are many Asana notifs coming in per day and they all count against the 10,000 message limit for Slack.

Could you anybody confirm that it is indeed a known issue?

We contacted Slack and they say the option to delete or not rests in the hands of the developers who built the integration. And yes, some messages cannot be deleted.