I can only guess at this, but are you really sure you want to actually delete this domain?
A mail domain needs a set of 'internet accessible' records, CNAME & MX records in order for your account to be found. Think of this as like a DNS pointer to a web site.
If you discard the domain, these records will be removed from the 'internet database' & will no longer exist. I doubt this will mean Apple will actively chase down any emails you have already archived locally - that would be unfeasible - but what will happen is that all ties between your existing mailbox & you will be destroyed. You won't be able to access these again later.
It would be sensible for any organisation running a structure for multiple independent users that after destroying an account to tidy up afterwards, not just removing the connections to it but deleting its contents too. There is the remote possibility they could archive this temporarily, but may not choose to; meaning this decision would be final.
I don't have great experience in this, though I have moved my own mail servers recently & this is the effective result - after the deletion of the old account [part of a handover in my own case] the old account is simply 'gone', inaccessible.
If Apple say the mail database will be deleted, believe them.