Yes, this is easily possible, although it's not documented yet. Just add the following line to your code somewhere before the message.Save call:
message.Headers.Add("X-Unsent", "1")
Example:
Dim message As New MailMessage
message.From = New MailAddressCollection("hugo@example.com")
message.To = New MailAddressCollection("joe@example.com")
message.Subject = "This is a simple message"
message.BodyText = "Hello, Joe!"
message.BodyHtml = "Hello, <b>Joe</b>!"
message.Headers.Add("X-Unsent", "1")
message.Save(Filename, MailFormat.OutlookMsg)
This should do the trick.