But if you really want to delete your Drafts, just click "Preview" 100 times

Does that sound practical ?
Not really, but it's more realistic than expecting the forum to add a "Delete" button for such a rare request.
The forum also has some responsibility. You cannot give all the responsibility for security on the user.
Sure you can. Each PM you send, has this disclaimer:
Note: PM privacy is not guaranteed. Encrypt sensitive messages.
The forum does not inform users while creating a new message that they are saved in drafts.
That's a good point. Under each post, I see this:
Click preview to save a
draft.
It would make sense to also add that under PMs.