is it for FA or what site?

This site.

On your main page, you have to go "my FA", then page management.
You will see the ability to manage your page shouts, and delete them too.

WOW I should send you a message for your help but I like hearing responses and chatting with fellow artists.

I have to ask where is 'My FA' or 'page management' as I can't find them.

Right next to your name on this site at the top of the screen, you will see "my FA".
Hold your mouse cursor on it, and it'll drop a window down where you will see "page management". Then another window will plop from that when you hold your mouse over it.

When that has been accomplished, click on "page shouts".

Hope this helps =)

Are you hitting the 'nuke messages' button or trying to delete them one by one? I remember when I tried to nuke them all at once in the past, some messages would remain, but manually selecting the boxes or hitting "select all" seemed to fix the issue.

No as I want to keep some messages to go back to them so I delete a selected few but I can't for the last month.

Looks like working to me tonight, is the issue solved for you now?

No sadly as I can't find 'My FA' beside my name.

Other idea is, are you using the classic interface or the new interface?
Maybe changing the interface/theme?

Write a Trouble Ticket to the FA staff if you still have that problem.

I'm using the new one so how do I set it back?

Go in the top bar to the right on the following path:

My FA > Account Management > Account Settings >

In that page go to the sub title Site Layout/Theme, and you can change Template from "Modern" to "Classic", see if that helps you solve the problem.