Going back to the original message that started this:
I believe that the warnings about deleting a mailbox go back to the origins of the POP protocol. By default, mail clients that used POP would download all waiting messages and delete them from the server. There was an option to download and not delete, but that was not the default behavior IIRC. So when you delete a POP3 account from Apple Mail, it’s warning you that deleting the account and its associated mailbox may delete all of the messages that were ever downloaded anywhere.