Are you using IMAP protocol? From what you're describing it sounds like you are using POP3. Check your account settings in Mail and see what kind of account you have set up.
IMAP shows any changes you make in Mail appear in your gmail inbox as well (it keeps your account synchronized regardless from where you access your email. With POP3 (older technology), whatever you do in the Mail app will not happen in your gmail inbox. Check gmail's help webpage for how to set up IMAP with Mail if this turns out to be your problem.