One message that cannot be deleted on iPhone 4

You could try removing the Exchange account completely and setting it up again. Maybe this also deletes the message.

It sounds like Mail got a bit out of sync and it can't move the message because it doesn't exist. Here are a few things you can do to get it to resync.

'Quit' the Mail app - from the home screen, double 'click' the home button to show the list of recent apps. Press and hold the Mail app icon until it shakes and displays a red icon. Tap the red icon.
Restart your phone - always a good thing to try with software and caching problems.
Re-configure your mail account - this is a bit of a pain, but you should won't lose any messages because they are all on the server.

I found that after a month the undeletable email would disappear from the mail app. This I can live with because I don't like the other option of setting up the Exchange account all over again.

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