is it just me?
Nope, not just you. Updating/editing text in direct messages is not currently supported.
Here's the Product Idea to vote on to let Vanilla know you'd like this feature:
@Genevieve P is correct here! (Per usual due to her awesomeness ;) )
Quick extra note that you can 'leave' the conversation but you cannot delete it as she mentions, it would still be visible to any other participants in the convo.