If I press 'D' or use the menu to delete messages, they get marked as deleted but never disappear. How can I delete them?
Simple, press '#' or 'x' or select Message/Expunge from the menu. Mahogany will also ask you if you want to expunge them when closing the folder. If you use the Trash folder, this only applies to that one as all other folders will move messages straight to Trash instead of marking them deleted.