The imap_setflag_full-function works with pop3 as long as the connection is NOT closed. if you make
imap_setflag_full($mbox, imap_uid($mbox, 0), "\\Seen \\Flagged", ST_UID);
print_r( imap_headerinfo($mbox, 0) );
you see the flags set, but if you call the box again with another script, the flags are empty again.
I tried this on a WinNT (*ugly*) with IIS 4.0 and a running POP3-server with PHP 4.3.