That seems to be how my Treo700w works for IMAP Dreamhost mail, also (WM5).
I have come to expect that if I delete something while using the handheld, that it is gone, but I just checked the Deleted Items folder for one of the accounts, and there are some e-mails in there. Of course, that is not much different than using Outlook with Dreamhost mail and IMAP - mark for deletion, then purge, and poof, they are gone.
As far as a sent copy goes, you might just have to add yourself to the Cc: or Bcc: line to get a copy of the message you sent. A long, long time ago, on a VMS system in another galaxy, we always had to copy ourselves if we wanted to keep a sent copy of an e-mail.
Sorry this isn't any help, just a confirmation that someone else is seeing the same thing you are.
We don't need no stinkin' signature....