Hey
Welcome to the amazing brave new world Microsoft has unleashed on us (sarcasm)
Yep. that's the way it behaves.
I find myself using the tablet more often than not, and deleting emails I no longer want, then going and emptying the "deleted items" folder.
If your email is stored on Windows Live (Outlook), then it's using MAPI by default, and your emails are syched, so there is no "remove emails from the server when they are downloaded" option the way there is in POP3.
So, one thing I have done, is goto my Windows Live email webpage, and setup some "Sweep" rules, and categories. That's one of the few things I DO like about it.
Once you have setup the rules, it keeps most of my things straight, but I still have to go to the webpage to update some new rules from time to time.
On my PC, I only synch the last couple of weeks, on my tablet, I only synch some of the folders.
I could go into more detail about some of the really awful things I find about it, including the inability to have photo's of my contacts synched - this is an issue thatn was raised THREE YEARS AGO, and Microsoft have basically ignored it so far.....
(So I synch contacts via GMail)