mu4e integrates with the Emacs bookmarks system, and allows you to create
bookmarks with with bookmark-set for either message-at-point or the last
query. The message links are based on the message’s message-id, and thus the
bookmarks stay valid even if you move the message around.
For deciding whether to link to message or query, you can customize mu4e-emacs-bookmark-policy.
Emacs bookmarks are not to be confused with mu4e’s bookmarks; the former are a
generic linking system across Emacs, while the latter are stored queries within
mu4e.