What is the difference between doing a 'remove' and a 'delete' of a message?
At 'My messages', all messages are shown. Messages are deleted automatically after 90 days, but you might want to clean up your message box a little sooner. This you can do by clicking 'remove' at the message. The message isn't deleted from the database, but it won't show up in your message box anymore.
If you've sent a message to another player, but the recipient hasn't read the message yet, you can 'delete' the message. This means the message will really be deleted from the database. So the recipient will never receive it. If you 'remove' a message, the only effect is it won't show up in your message box anymore, but the recipient will still receive it.