I have the exact same problem and have had it ever since I started using Windows Live Mail. Mine in addition does not even delete the email. It just closes the email. When I look in the junk mail it still exist.
**** BACKGROUND INFO ****
My e-mail client is Windows Live Mail Version 2009 (Build 14.0.8064.0206).
I've used various versions of this software for several years. I use it only to handle e-mail from four different hotmail.com e-mail accounts.
I have set the following safety options:
(1) Safe List Only
(2) Report junk e-mail to Microsoft and its partners
(3) Bounce the blocked messages back to the sender (when I click the "Delete and block" link on messages)
(4) If the e-mail is a mailing list, unsubscribe me from the mailing list (when I click the "Delete and block" link on messages)
My PC is a TOSHIBA laptop (P100-ST9612) running MS Windows XP Home Edition 2002 Service Pack 3, current with all critical updates. Intel Duo-Core CPU T2600 at 2.16GHz and 3GB RAM recognized out of 4GB RAM installed.
**** MY ISSUE ****
When I click the "Delete and block" link on an e-mail message, no e-mail address is added to the Blocked Senders list.
The Blocked Senders list remains empty.
I've discovered that I can manually add senders' e-mail addresses to the Blocked Senders list using the following menu selections.
Actions > Junk e-mail > Add sender to blocked senders list
**** MY TROUBLESHOOTING SO FAR ****
Security wipe of hard drive, followed by restoring known-good baseline image via Linux boot disk and drive-image software
Updating everything recommended from the Windows Update web site
Reinstalling Windows Live Mail
Creating a new hotmail.com account using a separate computer at work with a different ISP for testing purposes
Sending a test "SPAM" message from the test hotmail account to my e-mail address using the different ISP
Later, opening this test "SPAM" message on my computer using Windows Live Mail
Clicking the "Delete and block" link on the test "SPAM" message
Closing Windows Live Mail and rebooting my computer
Launch Windows Live Mail, and view the Blocked Senders list; the e-mail address from the test hotmail.com account is not listed
It appears to me that clicking the "Delete and block" link on any message from within Windows Live Mail does nothing other than permanently delete the message. I do not know whether or not any messages are bounced back to the sender or if any e-mail addressses are actually reported to Microsoft or its partners.
Unless I manually add an e-mail address to the Blocked Senders list, I continue to receive future messages from the addresses for which I have previously clicked the "Delete and block" link.
Thank you for any time you spend helping me to understand this issue so that I might use the "Delete and block" feature to bounce messages back to the sender while also adding the senders' e-mail address to the Blocked Senders list.