selectLastMessage() тоже выполняет запрос в базу, это жутко...

 public function select(string $user)
    {
        $query = "SELECT * FROM `dialogs` WHERE `receiver` = '$user' OR `sender` = '$user'; ";
        $result = $this->pdo->query($query);
        $all = $result->fetchAll(\PDO::FETCH_ASSOC);

        for ($i = 0; $i < count($all); $i++) {
            if (!($this->selectLastMessage($all[$i]['id']))) $this->delete($all[$i]['id']);
        }

        $query = "SELECT * FROM `dialogs` WHERE `receiver` = '$user' OR `sender` = '$user'; ";
        $result = $this->pdo->query($query);
        $all = $result->fetchAll(\PDO::FETCH_ASSOC);

        return $all;
    }