You could press {End} instead of {Ctrl+End} to return focus to the bottom of the list. But that would be equally annoying!
Is it possible you've remapped {Delete} to be {Delete}{Home} or something like that?
Can you reproduce the problem if you press {Shift+Delete} instead of {Delete}? Shift+Delete deletes permanently.
Does the problem occur if you reverse the order of the list of messages? I realize that's not how you want messages to display. But change the order for testing purposes.
What happens if you delete a message via the Context menu?
By mouse: right-click the message, and then click "Delete."
By keyboard: press {Shift+F10} and then press {d} (which is the accelerator for "Delete.")
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