I have been using the new API since June and it was able to delete DMs older than 30 days. It seems that retiring the old API did have a side effect on the new API which is quite unexpected.
I might have been misreading the migration guide where it says:
The method for accessing individual Direct Messages with GET direct_messages/events/show remains the same
Remaining the same reads as this new change wouldn’t impact the old behavior of the API!
And finally on that same migration guide, direct_messages/events/destroy focuses on the change from POST to DELETE without any mention of the restriction on message age.
I realize there is probably no going back on the decision to restrict access to 30 days of DMs, but can we at least have clear documentation on these limits?