Unfortunately there is no way to achieve this in WM5. We are considering
this feature for future releases.
The closest you can get right now is to use Empty Deleted Items = Manually, but of course deleted messages pile up on your device, and they will be deleted from the server once you try to remove them. It sounds like you've already tried this and it's still unacceptable.
Hopefully this doesn't make your device completely useless...
Have you considered some of the 3rd party email clients available for WM5?
Power users such as yourself might enjoy the finer grain customization
possible with some of these 3rd party apps.
The best bet seems to be a third-party app. I wonder if any third-party e-mail apps also support HTML e-mail etc. If anyone has one to recommend, please leave a note here as a comment.
In the meantime, I understand that I can delete things on the device and they'll be fine as long as I don't empty the deleted items folder. I think that I can then move all deleted items older than 7 days back to Inbox, which I've set to show only the past 7 days, and they should disappear on the device without being deleted on the server. I'll have to wait 7 days to try this, I'll let everyone know then how it works. (IT WORKS, READ MY FOLLOWUP HERE.)