They get synced. But I have to delete them on every device when I don't want that conversation. Like the one time code from the bank. Etc. Every now and then I have to delete messages I've already deleted because they showed up on my iPad Pro, iPad Mini, iPhone 7+, and my X.
It may also help those who have smaller storage devices like the 32GB SE. Pictures in saved messages should stay available in the cloud, even if not taking space up on the iPhone.