I've run into this a few times also when users were compromised and used to send out bulk/spam. Naturally you want to kill mail from that user in bulk and with extreme dispatch.
You can delete a lot of them from the gui, but a large percentage cannot be deleted from there. I've always had to call support and have them clear them out. I would love to be able to do the same myself.
Best guess is that these messages (often with dozens and dozens of receivers) are in use/actively trying to send at the time and so the GUI won't touch them. We need a stronger kill-message option for this situation.