You can control the history for all your devices from the management console (See management console settings). You can enable or disable history for all devices. There is a setting that allows you to choose the size of history for the PC and Windows Mobile devices (not available for other devices).
Enabling history means the messages each device receives will be saved in either the SD card or built in data storage. Disabling history means the messages each device receives are not saved anywhere. (History size)
If you protect the history, you will disable the ability to delete messages for all of your users.