That's the thing, I tried doing just that, and basicly add some PM's to a label, and then delete them in the inbox, but it got deleted in both places at once. :(
I'm not sure if this is what you mean, but if it is, it doesn't seem to work. I don't know if you can make some kind of folder, and basicly move a PM from your inbox to a different folder/category/label, and then it will only be saved under that folder/category/label and no longer appear in your inbox, making it safe to go ahead and mass-delete there.