In Airmail you can delete single message without deleting the entire conversation. The deletion of message from a conversation will remove only the selected message and if it’s chosen from the message list on the left, this will result in deletion of entire conversation.
In the following screenshot there is an option that allows you to delete the message in a conversation:
You’ll need to expand a conversation to delete particular messages which you don’t want to be stored in the conversation.
However in some servers your message will be removed permanently which is a part of server’s performing feature and this action may be different from other servers such as Gmail, Yahoo, AOL, Hotmail etc. They usually are moved to the trash folder which can be recovered at anytime. Therefore, make sure to have your trash folder mapped with Airmail, otherwise it may cause some issues which may result the message to be removed permanently.