Up until 18.04 there was a dontshowagain checkbox in the message box.
This was removed in 18.08, without any way to delete without
confirmation. In master there's this config entry with GUI in the
settings dialog, but that can't be backported due to the message freeze.
At least having the hidden setting in 18.08 allows advanced users to
set it -- and gives an easy support reply in the bug reports that I
anticipate will come in:
"Quit kmail, open ~/.config/kmail2rc, and in the [General] section add
delete-messages-without-confirmation=true"