To delete selected message(s) you should select 'Delete' item in corresponding pop-up menu (access by right mouse button click):
In this case messages will be moved to 'Deleted messages' folder. You can still restore your messages from 'Deleted items' folder. If you delete your messages from 'Deleted items' folder, then they will be removed permanently.
Please, note, that messages, deleted with deleted folder cannot be restored.
See also: