I would assume confidentiality, too--accounts get hacked all the time, and saved e-mails would then be available to anyone else. I'd think that his deleting them actually shows how much he values you and your safety in therapy. However, it's important, as Stumpy says, to talk about this with him! Perhaps it is important to know if he makes note of your emails in his own notes, so that you can be assured that he is hearing you.