Hi,
When I tested here, I open the message and then click Delete. After that I go to the main Window and click Ctrl + Z. I’ll get following error. Is this the case for you?

If I directly delete the message in the list, I can redo the operation via Ctrl + Z.
As this situation can be reproduced on Outlook 2016 and Outlook 2013, I’m afraid this is by design.
If you have more concerns on this feature, it is encouraged to visit the Outlook user voice forum:
https://outlook.uservoice.com/ to vote for a similar idea or post your own.
Thank you for your understanding and support.
Regards,
Perry
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