(I'm using the word "you" in this reply to avoid convoluted grammar).
It is not fraud to send yourself an email because you haven't deceived anyone. The scenario you describe would probably be a violation of workplace policies, and hence grounds for disciplinary action by the company, possibly including sacking.
This is not "theft" because the UK Theft Act defines it as:
A person is guilty of theft if he dishonestly appropriates property belonging to another with the intention of permanently depriving the other of it
Sending yourself a copy of the information did not deprive the company of it, so it isn't theft.
It might be a violation of data protection laws if the confidential information includes personal details, such as a customer database, and you don't take action to keep them confidential such as encrypting the file. However the company would be considered the guilty party, not the employee, as it was their job to keep the information confidential.
Deleting emails is not a crime unless you are doing it to hide evidence of a crime or after you have been informed that they are to be used in evidence in a legal case. However merely deleting them from your "Sent" folder won't change any logs kept by the company, so the practical effect is likely to be minimal.
Yes, confidential information can be "stolen" in the wider sense. However this is a civil matter rather than a crime, so the company can get court orders to force the return or deletion of the information, after which any violation is contempt of court. The police do not get involved at any stage short of contempt. However if you merely send the information to yourself outside of work then its probably not worth the company taking legal action; in the first instance they are more likely to ask you to sign a declaration that you have deleted all the data and not passed it on to anyone else.