will purge remove persistent class data

Usually you do not mix between your "own" persistent (classes) data and Interoperability (aka Ensemble) request & respond messages (which are also persistent).

When you purge Ensemble data. the request/response messages are also being purged !

A best practice is to have for each component its own request/response messages. e.g.
PROD.BO.ComponentName.Msg.Request & PROD.BO.ComponentName.Msg.Response
where BO = business operation (so you could have BS for business service and BP for business process)
and ComponentName is the name of your components.
(sometimes few components, can share the same request & response messages, which is totally fine !)

In line with what @Yaron Munz was saying - when you purge your messages as part of your interoperability data, and you choose to include Message Bodies, then your Body class' data (whether your message body class extends from Ens.Request or Ens.Response, or whether it is simply a class extending from %Persistent) will get deleted together with the Message Header.

The purge code [in Ens.MessageHeader:Purge()] looks at the MessageBodyClassName and MessageBodyId fields of the MessageHeader record and then calls the %DeleteId() method for that class, for the given Id. 

That being said, as @Cristiano Silva pointed out if the class you use as your message body includes references to other persistent classes, these will not get deleted/purged with the referencing object, unless you have an %OnDelete callback method/Trigger taking care of this.

You can see these related posts I shared in the past -

• Ensemble Interfaces Disk-space Usage Estimation and Purge Verification Framework 
• Delete Helper - A Class to Help with Deleting Referenced Persistent Classes