When you leave a DM conversation on the website (and I presume the official app) the direct messages associated with that conversation still appear in the API calls.
Thanks for this - I’ll check in with the team as to what the expectation is here.
@Sam_Ruston, that it correct. Leaving a conversation does not “delete” it. It just clears the DM conversation on your own account. The conversation history is still accessible by other members of the conversation through their Twitter client and the messages are available through the API.
DMs deleted by Twitter because of spam, abuse or safety issues should not be available in the client or via the API.