Because oh my god, I have like 2000 empty messages from the auctions in there right now and I'll go crazy if I have to click through to delete them one by one, and I don't need them for anything else. Even a Select all -> Delete option would be...very nice really.
Also, sometimes I get like 10-20 auction items in my inbox because I buy things when I'm not playing the game (like a bunch of meat to donate if I spot it and it's cheap). And I have to click through every message and take the attachments one by one when I'm back in game. It's excruciating ;_;
It's sad when even simple things in game become grindy.