I know this is an old thread, but I thought I would post just for FYI. When you see this message in a Spam e-mail you will not be able to directly delete the specific email. However, there is a way round it I found. Move the email over to your Junk folder in Outlook. Then go down to the "Junk E-Mail" which is usually right below the Deleted Items Folder. Right click on the "Junk E-Mail" folder (Note!!! Not on the e-mail!!!! On the folder!) Then select the "Empty Folder" option.
I had been trying for over a year to get rid of these emails and could never get round getting the error message. It was only when I tried to clean the folder that I was able to get it to work.