Especially when the virus scanner is acting like a mail proxy, Outlook no longer talks directly to the mail server but the virus scanner does.
If you have a virus scanner installed which integrates itself with Outlook, this often the culprit. There are 3 common reasons why this could happen. Why are they still there and not being deleted? However, after I download the messages, they are still kept on the server as well. I'm using a POP3 account and have Outlook configured not to leave a copy on the mail server.