An iCloud account is accessed as an IMAP account. All server stored mailboxes with an iCloud account are kept synchronized with the server with each email client used to access the account.
With iOS5 at Mail, Contacts, Calendars below the Mail section at Show - the show recent messages options are:
Prior to iOS5, the show recent messages limit is 200.
Either delete the messages from the account's Inbox mailbox at the server, move the messages to user created "On My Mac" location mailboxes with the Mail app on your Mac which will store the messages locally on your computer's hard drive and remove the messages from the server at the same time making the messages no longer available and accessible with your iPhone and iPad, or change the show recent messages selection to a lower number on your iDevices.