My SE iPhone does not have a way to retrieve a deleted message or does it?

If it's on iOS 16 you can go to messages on the top left there will be an edit button clicking on that will show a menu click on show recently deleted and your recently deleted messages will show and can be recovered, if message filtering is active go to the filters button and the rest of the steps are the same. I hope this helps you out

A note to point out that you must update to iOS 16.......before......you delete any messages that you want to recover.

If you have already deleted the messages, then updating to iOS 16 will not help to recover the messages.