Answers
What happens to my messages if I delete my account?
Your account and the data attached to it go. Messages you sent into other people's conversations generally stay, because they are in someone else's record — and any service claiming otherwise is describing something it cannot do.
This surprises people, and it is the honest limit of deletion on any messaging platform. A message you sent is a copy in a conversation that belongs to two people, and removing your side does not reach into theirs.
What should go is everything the service holds about you: the account, the profile, the metadata, the subscriptions.
Naven's privacy page states which is which rather than implying everything vanishes. Deletion is a real deletion rather than a deactivation.