When I use iMessages, is a copy of all messages retained in iCloud? When I use iMessages, is a copy of all messages retained in iCloud (on Apple's servers)? If yes, how can I delete them?
iCloud does store copies of your iMessages with the backup of the iDevices. To delete them, you'd have to delete every iCloud-Backup that contains the message.

As to my knowledge, there is no user-accessible copy of the iMessage stored apart from the backups.