This is how the “Delete message” dialog looks currently:
Compare to how it looks on Telegram:
For comparison, WhatsApp desktop has radio buttons, but they make you pick the value every time, it’s not remembered:
I think the Telegram’s approach is much better.
Most of the time when you delete a message, you want to delete it for all chat members. Even if not, you usually do the same kind of deletion (either just for yourself or for all members), and I think cases where you need to switch between the two are rare.
You don’t want to have to think about what button to press. Moreover, you don’t want to accidentally delete a message just for yourself. The checkbox makes it harder to cause non-default behavior.
So, I suggest to introduce this checkbox, and remember its value, just like in Telegram.
For reference, here is an issue about message deletion.