Best WP7 features:
#2 Removing headphone --> Music pauses
#3 Metro design language
Worst WP7 features:
#1 Read mail, delete it --> Shows as unread in Outlook
#2 Inability to hide Live contacts and feeds
#3 Inability to sync text messages to Exchange
WP7 already properly does show deleted mail in the appropriate Deleted Items folder. I use it everyday with Exchange Online and it works as expected. Perhaps you are using both WP7 and Outlook with some other obscure email server because itn Exchange it works for me as expected.
If the IM came from Lync Server or Lync Online, it does archive it and this is not the same as IM with your wireless carrier account. Perhaps the latter will sync to the Windows Phone Live account.