If you delete those then the recipient can still see them (it just deletes them for you). Zuckerberg's messages (and the new "unsend" feature) delete the messages for everyone, which is different.
Your SMS, IRC, etc. messages are stored locally. Your Facebook messages get loaded from Facebook.
and fair points about email... I had assumed this worked like other parts of Facebook, which doesn't seem unreasonable given they control the whole stack. (and they did shut down their old XMPP gateway awhile back)