When you delete a message from anywhere besides the Deleted Items folder, it will first move the message to the Deleted Items folder. The Deleted Items folder is a special folder that acts like the Recycle Bin on a Windows/Mac desktop. This is to prevent you from accidentally deleting email messages and allows you to restore the email message if needed.
To permanently delete the message(s) and free up email disk space, you will need to select the Deleted Items folder and perform the delete operation again on the messages stored here. This will remove the email from the servers.
Please note that you will not be able to undo this operation.