Right now that's the only way to remove yourself from a conversation.
Removing yourself from a conversation really does nothing except remove it from your view. On this software the message is only stored once and members of the conversation have permission to access it. On other software deleting messages is important because each message is stored serveral times (like email), sender's sent box, receivers inbox, quoted text in replies, etc.
If you're bumping up against a message limit, I can increase it.