You can add following code in your theme’s (child theme’s if any) functions.php

add_action( 'fep_action_validate_form', function( $where, $errors, $fields ){
    if( 'newmessage' != $where )
    return;

    if ( $errors->get_error_message( 'MgsBoxFull' ) ){
        $errors->remove( 'MgsBoxFull' );
        $errors->add('MgsBoxFull', __( "Your custom error message here.", 'front-end-pm' ));
    }
}, 99, 3);

add_filter( 'fep_message_table_bulk_actions', function( $actions ){
	unset( $actions['delete'] );
	
	return $actions;
});

Change error message as you like.
Admin can delete message from Back-end. Go to Dashboard > Front End PM PRO > All Messages