Special Delivery
From Archon Arcana
Special Delivery • Shadows • Artifact • Uncommon • Omni: Sacrifice Special Delivery. Deal 3
to a flank creature. If this damage destroys that creature, purge it. • Artist: Preston Stone • Card Number: CotA (292), AoA (296), WC (260)

FFG Rulings
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No, Shadow Self is not purged. You must choose a creature for Special Delivery, and the “that creature” in the text refers only to the chosen creature.
In my opponent's battleline, they have 3 creatures, with Shadow Self (with 6 damage) in the middle. I sacrifice Special Delivery, and choose to do the damage to the left flank creature. Shadow Self's ability means the damage is dealt to Shadow Self instead, meaning Shadow Self is Destroyed. Is the Shadow Self purged due to Special Delivery's ability?
No, Shadow Self is not purged. You must choose a creature for Special Delivery, and the “that creature” in the text refers only to the chosen creature.