If you are used to traditional mail readers, but have decided to switch to reading mail with Gnus, you may find yourself experiencing something of a culture shock.
Gnus does not behave like traditional mail readers. If you want to make it behave that way, you can, but it's an uphill battle.
Gnus, by default, handles all its groups using the same approach. This approach is very newsreaderly—you enter a group, see the new/unread messages, and when you read the messages, they get marked as read, and you don't see them any more. (Unless you explicitly ask for them.)
In particular, you do not do anything explicitly to delete messages.
Does this mean that all the messages that have been marked as read are deleted? How awful!
But, no, it means that old messages are expired according to some scheme or other. For news messages, the expire process is controlled by the news administrator; for mail, the expire process is controlled by you. The expire process for mail is covered in depth in Expiring Mail.
What many Gnus users find, after using it a while for both news and mail, is that the transport mechanism has very little to do with how they want to treat a message.
Many people subscribe to several mailing lists. These are transported via SMTP, and are therefore mail. But we might go for weeks without answering, or even reading these messages very carefully. We may not need to save them because if we should need to read one again, they are archived somewhere else.
Some people have local news groups which have only a handful of readers. These are transported via NNTP, and are therefore news. But we may need to read and answer a large fraction of the messages very carefully in order to do our work. And there may not be an archive, so we may need to save the interesting messages the same way we would personal mail.
The important distinction turns out to be not the transport mechanism, but other factors such as how interested we are in the subject matter, or how easy it is to retrieve the message if we need to read it again.
Gnus provides many options for sorting mail into “groups” which behave like newsgroups, and for treating each group (whether mail or news) differently.
Some users never get comfortable using the Gnus (ahem) paradigm and wish that Gnus should grow up and be a male, er, mail reader. It is possible to whip Gnus into a more mailreaderly being, but, as said before, it's not easy. People who prefer proper mail readers should try vm instead, which is an excellent, and proper, mail reader.
I don't mean to scare anybody off, but I want to make it clear that you may be required to learn a new way of thinking about messages. After you've been subjected to The Gnus Way, you will come to love it. I can guarantee it. (At least the guy who sold me the Emacs Subliminal Brain-Washing Functions that I've put into Gnus did guarantee it. You Will Be Assimilated. You Love Gnus. You Love The Gnus Mail Way. You Do.)