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There are 2 or 3 protocols involved with sending email.
The first is SMTP - this is the sending of mail, from the client (webmail or thunderbird or outlook or whatever on local machine) to the outgoing mail server, and then from that server to the destination server.
Once mail is on the destination server, a client (again, thunderbird, outlook, a webmail program, etc) accesses it via either the POP3 protocol or the IMAP protocol.
POP3 was designed around not being always connected. Connect to mail server, download all messages to local machine. Possibly delete them from the server at that point, or when deleted/removed from teh inbox on the client (this is configured client side).
IMAP was designed around being "always connected". With IMAP when the mail is checked it only downloads the header information. When a message is opened to be read, it downloads the rest of the message. Messages can be stored in folders on the server, or on the client, or both (ie at work my Inbox is on the server but any mail message over 30 days old is archived on my desktop).
I can't speak about Exchange or qmail, but both Exim and Postfix store messages on the file system, not in a database, so deletion is trivial to accomplish.
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