You can control the deletion behavior using the Default Exchange Mailbox Policy. Access the properties, click on the Advanced tab, in the "List Settings From" dropdown select "Desktop", scroll down and locate the "Shortcut Deletion Behavior" option. You can choose from the following:
Shortcut Only - Deletes the shortcut only and leaves the original message in the vault.
Both Deleted - Deletes both the shortcut and the archived message.
Ask User - Prompts user with a dialogue box and provides the option to delete the shortcut only or both the shortcut and archived message.