I've been using Markdown for notes too. For notes that I'm likely to want to edit, I keep them in Dropbox and use Elements, or Nocs on my iPhone. I only keep a static form on Evernote, because of the problems mentioned here, and in many other threads. It's a bit odd that a hi-tech gadget like the iPhone takes word processing back to the 1980s. Soon we'll be re-living the heady days of the first WYSIWYG software!
I don't think that you can link to messages within Mail: that would create problems when you read the note on a mobile device, or a different computer, so it wouldn't really fit in with Evernote's portability. An option might be to send the messages to Evernote, then you could create the single note you want, and link to the notes containing the email messages. I think that's the closest you can get at the moment.