It's not properly supported, in the sense that it's not properly documented, but I'll support it in the sense of fixing bugs and adding features (as long as I want them too).
XEmacs-21.4.21-Unicode-20141018.tgz (12 MB)
In addition, you can set an alarm to flag a message as urgent at a later time or date.
The user interface is the command vm-sumurg-set-urgency.
This command is not bound to a key by default, as I don't know what a good key binding is. (I bind it to *, which is vm-burst-digest in the distribution, which I never use.)
A command vm-sumurg-showurgent, bound to V U, creates a virtual folder showing messages of the given urgency level (or higher).
The documentation for vm-sumurg-set-urgency is
*Set the urgency level of a message. Interactively, this prompts for an urgency level from 0 (unmarked) to 4, and sets the message's urgency accordingly. A numeric prefix argument is treated in the usual way, setting the following N messages to the given urgency level. If called with a simple prefix argument (C-u), it first prompts for a date on which the message is to be set to the given urgency level. If called with a double prefix argument (C-u C-u), it clears any pending urgency changes on the message. The date can be given in several reasonable forms: ISO: 2012-01-22 European numeric: 22/01/2012 or 22/01/12 British traditional: 22 January 2012 or 22 Jan 2012 or Jan 22, 2012 (month names can be given either in full, or as the first three letters) Except in ISO format, the year can be omitted, and the next such date will be assumed. For the next few days, there are two options: a weekday name, which may be given in full, or with the first three, or first two, letters. It may be followed by week (or wk for the really lazy), to add another seven days. For example: monday tue wed week Alternatively, a number of days in the future may be given by +N: +1 tomorrow +2 day after tomorrow + tomorrow (N.B. means +1 not +0) Any date spec may be preceded or followed by a time spec, in several reasonable formats: 19:27 19.27 19h27 7.27 pm 19h 7pm. Specifically any of h : . is recognized as a separator; am and pm are recognized in either case and with or without full stops; the separator and minutes may be omitted, provided that h or am/pm is used. (To avoid confusion with years, military format 1927 is not accepted.) A time spec normally means that time on the given date. In the special case where there is only a time spec, and the date is empty, it means the next occurrence of that time: e.g. at 19:00, a date/time spec of 09:00 means the following morning. A date spec without a time spec will become active according to the value of `vm-sumurg-default-time', which should be a string containing a time in any of the above formats. This defaults to "00:01"; it might be useful to set it to, say, "08:30", so that messages don't become urgent until you get to the office! (Note: the value of `vm-sumurg-default-time' that counts is that when the urgency is set, or when VM loads the mail folder, whichever happens later.)
2008-09-23: extended to put a reminder of any unsent composition buffers in the modeline also.