Hmmm. I see others have reported this 'problem'. Nothing can be done it seems! Sigh ...
PS Obviously the Mail application needs to provide a bit of handholding here to alert users that removing an account automatically trashes all the email too!
I recently decided to install and run Thunderbird as my new email client. I would occasionally go back to Mail to view earlier emails. This could be a bit of a nuisance though since Mail insisted on updating itself and downloading all the mail that had arrived for my account since I last opened...