It would be greatly beneficial if players could make their own folders for inbox messages that they want to keep of just need to mark as important. Even if this wouldn't be feasible you could always add a feature that allows tags on a message such as "Important", "War", "Alliance", but make them so the player can also make custom tags for them so they can easily recall info in their inbox when needed.

You can do this with Notes, but it's not connected with the Inbox.

Well then I would suppose ingratiating the two then, so kind of # system to sort them and have them loaded to the respectable notes...?