Is this a Gmail account? Whenever you do anything with an IMAP
message, like read it or delete it, the appropriate flag ('Read' or
'Deleted') has to be applied both locally (on your computer) and at
the server, so WLMail calls home to set those flags. If something
else is going on meanwhile, like downloading messages from another
account, this might take some time. And WLMail is not very good at
dismissing the 'Setting flags' message when the process is finished.
I often find that all it takes is to mouse over the message box to
make it go away. Annoying, but not life-threatening.