Is it the case that when a user deletes something they sent, it is removed from your messenger inbox? I am noticing a lot of lost items. I like to keep some PM's to keep track of my past purchases and dealings, but now many of them, some even recent have disappeared!
If a member deletes a conversation on their end, it is removed from their inbox but shown as deleted on your end. Messages that have been deleted will have a red "DELETED" tag before the subject. You can still view them, you just cannot respond. Messages should not disappear from your inbox unless you explicitly delete them.