win32 deleting message loop object

I decide not to use switch-case in the message loop. instead, I wrote abstract message class(MessageHandler) so that each message inherits the class and implements what to do.

The problem is it's obscure to find where I should make each message objects and delete them. All the messages should maintain until the program ends.
But in my understanding, the only place I can delete this message objects is inside of the close message itself which is cannot be done.

So should I change the whole design of this or is there a way to do this?

here is the message class. (Sorry, I couldn't summarize the code enough to reduce them)

class MessageHandler
{
private:
    UINT message;
public:
    static vector<MessageHandler*> msgs;
public:
    inline MessageHandler(UINT _message){ setMessage(_message); registerMsg(this); }
    virtual ~MessageHandler() = default;
    virtual void handleMessage() = 0;

    inline void registerMsg(MessageHandler *handlerObj) { msgs.push_back(handlerObj); }
    inline UINT getMessage(){ return message; }
    inline void setMessage(UINT _message){ message = _message; }
};

class WMQUITmsg : public MessageHandler
{
public:
    inline WMQUITmsg() : MessageHandler(WM_QUIT) {}
    ~WMQUITmsg() = default;
    void handleMessage();
};

class WMCLOSEmsg : public MessageHandler
{
public:
    inline WMCLOSEmsg() : MessageHandler(WM_CLOSE) {}
    ~WMCLOSEmsg() = default;
    void handleMessage();
};

class WMDESTROYmsg : public MessageHandler
{
public:
    inline WMDESTROYmsg() : MessageHandler(WM_DESTROY) {}
    ~WMDESTROYmsg() = default;
    void handleMessage();
};

this is how I use them

class EventHandler
{
public:
    bool runMessageLoop(UINT _message);
};
bool EventHandler::runMessageLoop(UINT _message)
{
    bool foundMsg = false;
    for(auto& it : MessageHandler::msgs)
    {
        if(it->getMessage() == _message)
        {
            foundMsg = true;
            it->handleMessage();
        }
    }
    return foundMsg;
}

WinMain will call this function.

int ApplicationMain (HINSTANCE hInst,
            HINSTANCE hPrevInst,
            char *cmdParam,
            int cmdShow,
            const char *className)
{
    //싱글톤 객체 생성
    ApplicationManager* AppManager = ApplicationManager::getAppManger();

    WindowClass winClass(WindowProcedure, className, hInst);
    if(winClass.Register())
    {

        WindowMaker win(className, hInst);
        AppManager->setMessages();

        AppManager->setRunLoop();
    }       
    return 0;
}

setMessages dose this

WMQUITmsg *a = new WMQUITmsg();
WMCLOSEmsg *b = new WMCLOSEmsg();
WMDESTROYmsg *c = new WMDESTROYmsg();

I believe this will cause memory leak, because the message objects never can be deleted inside of setMessages to maintain until program is terminated.