I'm proud to say that I know marginally more than you and can at least answer one question ;-)
Can a message be deleted without ever opening it?
Yes. (But I don't want to necessarily delete them. It's what I do at the moment, but it woud be nice to have the option to keep them.)
Or if one wants to keep a message in the inbox without actually reading it, would the simple act of opening and immediately closing the message have an undesirable effect? For example, would it alert the sender in some way?
I don't think so. I've certainly never received any kind of conformation that my messages have been read, opened, deleted or anything else, and I've never heard it from anybody else.
The 'undesirable effect' for me personally would be that I wouldn't be able to help peeking at it once it's opened and then might be drawn into a fruitless conversation after all...