You quoted my message from earlier but didn't answer the question within, to say if any of this worked for you or not.
Here again you've quoted my message to tell me that you already knew about this but don't say if it's helpful or not, if swiping messages is how you accidentally delete things or if you're still looking for some other different solution.
Anyway, I looked a bit more, because I know what you were talking about when it asks if you also want to delete, I don't remember if it called them saved messages but whatever, just before you delete. I did find a way to star individual messages within a thread, but this only highlights the messages and makes them easier to find because you can search for stared messages. Adding a star however did not prevent the message from being deleted, nor did it cause the app to ask about saved messages.
Best wishes.