Your email might have to be set up for IMAP which as far as I know RoadRunner does not support. There is a possibility that there is a setting for it though. Look for an advanced tab and a setting that says "delete from server" and check that.
Remember, if you get this to work, it will download the email to whatever device you open it on. If you then delete the email, it will be gone for good. For example, if you open an email on your Ipad, it will only show up on your Ipad. If you then log into your email from your phone, it will not be there. If you then go ahead and delete the email from your Ipad, it will be gone for good and will not reappear on another device.
Let us know if you can find a setting and it works for you so we can continue to help others with similar questions.