Auto delete seems to work only on deleted users?
Correct.
Would it be conciderable to add a feature to delete messages for selected groups?
We've no plans to implement such a feature in core, but you could implement it yourself using CB Auto Actions.
I have concidered to move expired user accounts to a separate database, but I haven´t found a solution for that.
That is ideally the best approach if you just need the data for historical reasons, but you don't actually need the data to exist in Joomla. This would prevent bloat in your database. Probably easiest way to do this is probably just directly in your database. You could schedule queries to move such users and their data to separate tables using MySQL events.
dev.mysql.com/doc/refman/8.0/en/create-event.html
Alternatively you could use CB Auto Actions to run queries and schedule a CRON task to run the auto action at whatever interval you need.