You actually can delete them, it's just hidden at the very bottom of the PM inbox. Check the ones you want, select delete selected fromt he drop down, then hit the button. It should theoretically work. Or if not, you can at least move them somewhere else like the drafts folder where you don't have to load them every time.
Edit: just tested this and verified on the EQ stylesheet.
Edited, Oct 15th 2008 7:48pm by Kaolian