If you don't use DeleteMessage method (DELE command is not issued),
server is not asked to delete a message.
It should return this message when you use GetAll() on the next POP3 session.
However some POP3 servers may decide, that the message was already seen and don't return this message on the next read (GetAll).
This is not what the server should be doing (it is against POP3 protocol spec), however some servers do that e.g. Gmail.
In Gmail for example you can configure how POP3 server behaves. I don't know what POP3 server you/your client is using, but there is a good chance this behavior is configurable.
Please note that POP3 protocol itself doesn't have a notion of seen/unseen messages. My advice is to use IMAP whenever possible.