there is a way but not by selective download.

In Account properties -> 'Mail management' tab (main node) there is an option
'Receive header only if message size is greater than:'

and a sub-option
'Delete large messages from server'

I guess you can achieve what you want if you enable both, although I've never tested it. Note that big messages may not be deleted immediately but on the next mail check.

Another way is to use mail dispatcher (Account -> Dispatch...) which retrieves only headers, you can sort messages by size and delete big ones without downloading (or set them not be downloaded now, without deletion).