In the HTC mail app, if you delete it on the phone, but not off the server it will re-download it.
I have my HTC client set to only pull one day’s mail. I like to use the mail to handle immediate emergencies and give me a heads up as to what has hit the oscillator while I was out of the office so this is not a big inconvenience for me.
One unexpected benefit is that every morning the mail app starts out clean. I found that I really like that.
In the HTC app the number refers to unread e-mails. I haven’t tested it but I would guess that if you delete it w/o reading it, it might not immediately register. However, it will re-download if you did not also delete it off the server anyway so I guess it’s moot.
I’m currently set up as a pop3/imap. I have not tested with Exchange.