Sonic.net

I received a e-mail that said that if I had purchased a certain model number(s) gas grill hose at Home Depot I should not use it and return it. I suspected that this is a Phishing e-mail and tried to move it to Trash in my Mac Mail application where I could then delete it. I twice marked this e-mail as going to trash and tried to delete it. Both times it did not move to trash and was not visible in my Trash folder when I tried to delete it. I finally went to my Sonic Webmail where I was able to drag it to the Graymail folder. The e-mail was titled: "Homedepot.com potential Product Recall Pearl River Hose <recall@pearlriverhose.com>".
It worries me that. this e-mail could not be deleted through the normal way.

If webmail allowed you to delete it, then the Sonic mail servers aren't causing the issue. I'd check with Apple Support to see why Mac Mail would not allow you to delete it.