I have a few users that do this. I've shown them a number of times how to create folders and move items to them (filters that I didn't set up for them would be too much), but they insist on storing email "they might need" in the trash. My usual quip is "do you keep your important paper documents in the trash can"?. They look sheepishly at me but keep doing what they are used to.

One of the users is the PHB himself.