I would say it means delete, but since it isn't in your inbox it isn't actually deleting it, just not allowing it into your mail boxes, e.g. discarding it, throwing it away, history, gone, deceased, gone to the digital bit bucket, it is no more.
Apart from the fact I don't use MS Outlook, I would plum for discard, I personally don't care about the occasional loss of an email that might be considered infected.
I certainly wouldn't allow it into the inbox, I wouldn't want the possibility if at some point corrupting the inbox.
You could create a 'suspect' email folder and elect to send it there and personally I can see no reason to keep infected emails, I mean what are you going to do with them ?