As far as I know the only way to delete a single e-mail from the Device, is by doing so
from the device. The service is only able to push. Deleting a mail from the device will remove it from Exchange mailbox, but not the other way round. I cannot imagine why it is not possible to have bi-directional delete as an option but it seems this is the case.
![Sad](http://www.blackberryforums.com/images/smilies/icon_sad.gif)