I noticed this in Windows 8 as well. It has something to do with the syncing in that it keeps in sync with the server rather than downloading the messages to the phone and then only downloading new messages. Where this becomes an issue is in the situation above where one of your devices is set to delete the message from the server after downloading.
Basically it goes:
1) Email comes in and is available for all devices
2) Shows up on WP
3) Other device downloads and removes from server
4) WP syncs and removes the email from its list
Another thing to keep in mind, when you delete a message from your wp (or Windows 8 mail app for that matter) you are actually deleting if from the server so no other email programs can download it and the message is pretty much gone.
I have not found a setting to disable this functionality thought you can change the length of time it looks for messages to sync... this is very dangerous functionality when you have multiple places it is syncing to, especially if you like a clean inbox on your phone.