Deleting the message does not remove the flag from the review queue. So it’s maybe more helpful to tell the moderators what happened instead of deleting the message.
Actually, deleting the message doesn’t really work. When you do it, the content of the message is replaced by the placeholder as usual, and the message is closed, but it isn’t deleted. So it’s probably even more confusing for the moderators. If they do not notice the lock icon, it will look like you edited the body of your message to the delete text yourself.