You can delete a contact and your conversation with them on Session. Here's how:
iOS
From your list of conversations, swipe left on the conversation with the contact you want to delete. Tap "Delete".
Android
From your list of conversations, press and hold on the profile picture of the contact you want to remove. Tap "Delete".
Desktop
From your list of conversations, right-click on the contact you want to delete. Click "Delete Conversation".