Does deleting an iMessage on a device deletes it in all of the other iCloud synced devices? If I have my iPad and my iPhone synced through iCloud and I can see that my text messages  are being received/sent on both. If I send an iMessage on my iPad and immediately delete the entire text thread on my iPad, does it in turn delete the text threat off of my iPhone?  If not, does it show the iMessage I sent from my iPad?

Pretty much what happened was I was over my buddy's house and his iPhone and iPad are synced to iCloud.  I am assuming this because he had been text messaging me all day and all of the most current text messages were showing on his iPad.  I used his iPad to send a text message to my wife with some of our bank account information she needed. 

I immediately deleted the text thread from the ipad (My wife also has an iPhone so I am assuming it was an iMessage). 

My question is does this iMessage go to his phone still if I deleted it?  Or does it delete from his phone because I deleted it from his iPad?
My experience is you cannot actually delete an iMessage once and have it delete elsewhere.

You can only delete the local cached copy of a message to suppress it being showed/stored on that one device. If you turn off iMessage and turn it back on, you will see the messages from iCloud come back whether you deleted a message or not.