>What I mean is that after I do a search and am presented with a table of results, it would be nice to be able to mark and save or download a bunch of these search results in a single step, rather than having to go into each message I want to keep and save/download it individually. This is where the confirmation dialog comes in, adding a couple of extra steps on each message.

I still don't see where there is a confirmation dialog.

As mentioned, for being able to download specific messages, I will work on it this week.