I was bitten by the same issue and was wondering if Symbian^3 not handling things in a proper way. Though later it came out to me issue from operator side only (In my case, Vodafone).
1. If your sent MMS doesn't leave outbox
I found out that in such a case, if the message is already sent and showing as deferred then you wont be able to even remove the same, which is sure a wrong part on Symbian^3 side.
Solution
Deleting conversation is a way, but I don't think one will wish to loose all the other messages.
Somehow most of the managing softwares also wont detect this 'unsent' message. Only easy cure you will find through Nokia PC Suit, where the same will not only be visible, but could be deleted easily (Ovi Suit wont show it).
2. You might find an error like "Memory Low. Unable to retrieve multimedia message. Close some Application first", when some MMS trying to be delivered on your Nokia N8
This is a generic error message and doesn't actually mean that memory is low or you need to clean up some space etc. The same error message will not go even by restarting the phone. Nokia N8 has plenty of phone memory and internal memory. Also in most of the cases, there will be at least 100mb RAM free.
Solution
As I found out, this was an issue related to wrong access point setting or poor reception. Get the latest settings from operator and try to be in a good reception area and restart the phone once and wait for 2 mins. Must be solved.