K9 >1) Keep in phone and server
K9 >2) Delete from phone and server
K9 with effort ? >3) Delete from phone but keep in server

I think 3 will be difficult, as any synch will reload locally deleted mails.
Gut guess:
create a "server-keep" special email account, forward the specific mail from K9
but do not create a profile for "server-keep" on android,
forward the specific mail slated for treatment with 3) to "server-keep" account
after forward use 2) on client for specific mail, both in in- and sent

>Is it possible to set Android email app to allow this?

as some are OS, adding such functionality to button-functionality might be possible, but not as easy as some excel-scripts ;-)