As discussed in a related question, Outlook 2010 does not easily move multiple messages and appointments. I am using Outlook 2007 and getting this behavior and I think I recall it from Outlook 2003, which I was using until early last year (our company is slow to adopt new software).
Unlike in the referenced question, I want to move messages, appointments, and anything else in the folder. In this case, I am trying to move items from my exchange "Deleted Items" to a pst "Deleted Items".
I am immediately interested in Outlook 2007 as I expect to be using it for the next few months. Soon we're switching to 2010 (possibly even before 2012!) so I'm interested in it as well.