This would be something to suggest on the upstream Lemmy issue tracker, but I am relatively sure they are already aware but for some reason did not find the time to implement this (or found it unimportant). I somewhat suspect though that this is not so easy to implement as DMs are AFAIK internally not much different from regular posts, and it is generally not possible for regular users to delete posts or comments by other users.
IMHO it would be probably best to add an user profile option to block DMs in general and that at least should be easy to implement.
However, if you receive repeated unwanted DMs from a specific account you can block that user and that will also prevent future DMs from reaching you.