I have BT and I have never found an option to do that either.
I don't know what Email client you are using to read your emails but the option to do that should be within your Email program and not The BT Server.
For instance I use Incredimail and have 2 options within that program -
- Leave a copy of messages on server (tick or untick)
- Remove from Server after -- days (Can choose any number of days up to a maximum of 100 days)