I love that feature in Notes! Unlike Outlook, you can quickly go through your inbox and clean it up by pressing either Enter or Delete as appropriate. Saves many mouse clicks.
Nonetheless, you have some options in Notes. Option 1: Press Esc when the next message opens. Option 2: Read your email in the preview pane rather than opening it in a separate window. Select all the documents you want to delete by placing a checkmark in the selection column, then press the Delete key.