I have mine set so I am not prompted when I delete e-mails. What I did was:
1.) Go to Messages > Options > General Options and set the Confirm Delete option to No
2.) Go to Messages > Options > Email Reconciliation and set the "Delete On" option for each account to Mailbox and Handheld (or just Mailbox if I want to leave it on the e-mail server).
Now when I delete e-mails they just delete without me getting any prompts at all. Once I press the DEL key it just removes the message.