Thanks Mike and James for your responses!
I completely expect that behavior out of the Deleted Items folder, but the Junk Email folder is somewhere that *possible* junk mail goes. If I click delete on the wrong line, whoops, there goes that message. So, from my perspective, it's unintuitive (other e-mail clients I've used do not have this behavior) and undocumented (at least under the My Settings/Delete Action and Deleting Messages help pages).
Since it's ignoring the option for where deleted messages go, I'd like an option added specifically for where junk mail goes when it's deleted. It could default to the "disappear into the void" setting for the people who dislike using the Deleted Items folder as intended, but I'd at least like the option to recover from a mistake.
I do understand that I could move the messages through the Move interface, but that completely defeats the purpose of having a Deleted Items folder and delete buttons and is merely a workaround for a folder that ignores the Delete Action setting.
Thanks!