I think they means something called "Request to Vanish" which is a new NIP (NIP-62) that request the relays to delete everything associated with the public key, even the DMs.
But not many relays support it yet, so it's not working as it should yet.
Discussion
Cooperative deletion only.
Yeah, and some relays may just hide it and not actually deleted it
Deletion can never be proven anyway, so one should always assume that the data is still living somewhere. A request to delete is the best you're going to get.
It would still be nice if more relays supported NIP-62, but even then, your data may have been mirrored to other relays you don't even know about and that your deletion request never makes it out to.