I have just started to look at my message. So far found two received in Jan and Feb have been deleted, one from Bradford Lass (about a futurelearn Course) and one from MawBroon. No idea why.
I have replied to both of them, which seems to be possible, so I shall continue to check and reply and we can pool information.
If it is that the system is set to do this, then the least that could happen is that a notification of the deletion is sent, dated at the deletion, not just an undated label slapped on the message.