be able to un-bookmark a message directly in “saved messages”
you have to go to the message (…leaving “saved messages”) and un-bookmark it there. If you didn’t want to leave “saved messages” you have to re-find your position in “saved messages” again.
You can just delete the message from “Saved messages”. I just tested on desktop, clicked “Save” on some message in some chat, then in “Saved messages” deleted this bookmark-message. It only deletes the bookmark, not the original message.
Maybe the warning should be less scary, currently the dialog looks like this, which is appropriate for deleting a note you took in saved messages, but in this case it’s just removing a bookmark:
Yeah thanks that is what I need 
And as you said, for other users it would be nice to get a less scary dialog 
