AFAIK, there is no a way to recover a deleted draft from within Pegasus Mail. 

A draft is stored as a .PMO file in the mailbox directory.  There will be a corresponding .PNX file if the draft contained formatted content.  I suppose you could recover these files using an undelete utility if needed.

If I delete a draft message I don't find it in the deleted messages folder.

Is there a way to set up Pmail in order to send deleted msgs to the trash once I delete them?

You can permanently delete messages without them going into the Deleted messages folder by holding down the Ctrl key while clicking Yes at the "Are you sure you want to delete..." prompt.  This is an instant permanent delete, there is no additional prompt.

I guess my post was confusing.

Basically what I'm trying to figure out is this: when I delete any message I find them later in the Deleted Messages folder. This does not apply to drafts, once deleted they're gone whereas I wish it would still be possible to find them in the Deleted Messages as well.