With regards to the copy/delete option, I was thinking that I could add a field to the message object/record that would hold a send id. So when you migrate to an external source like email the send id would be set accoridngly and the email would contain a link back to the site with the appropriate params that would delete all the messages with that send id.

Regarding formating, we already provide XML feeds for the private messages, and a webpage view, so i reckon the email would be something amenable to reading, and naturally, simple perl based parsing.