Gmail "Message left on the server", how to automatically delete them?

Unfortunately not, I hope this gets added in the future. You can, however, prevent the warning messages:

Create a filter in Gmail.

Go to Settings > Filters > Create a new filter.

In the subject field, type "Message left on server:", then click Next.

Select the "Delete It" option and click Create Filter.

NOTE:
This will auto delete the message in Gmail, however, the messages are still left on the server, so you'll have to log in to the account directly every now and then to clear out the messages. It's still a lot less annoying IMO.

Not from inside gmail, you'd have to connect to the other account directly. If the other accounts provide a webmail service that would be the simplest way.