When you delete an SMS in PocketDay it does not seem to be deleted from the default mail application. Anyone else have this issue?

This is a known issue. We decided that having SMS messages in PD even though they were not in sync with the native mail app was more valuable than not having them at all. You can disable SMS in pocketday if you aren't happy with this configuration.

At some point they should be in sync as RIM has stated that they will open this op to developers.