Hi Martin,
Telling you how to navigate your phone menus isn't really iFixit's forte; they mostly focus on repairing things that are broken or not working correctly.
That being said, here's a link to the operating manual for your phone that has the information you're looking for.
[link|https://help.na.panasonic.com/wp-content/uploads/2023/02/KXTGE21x_TGE23x_TGE24x_PNQX6358ZA_ENG_ESP.pdf|Operating Instructions (English)]
If you skip to page 40 it'll show you how to delete answering machine messages, either one at a time or all of them at once.