Hi Kitty, we can access PMs, but we don't - unless they're reported to us as spam, or if there's a safeguarding issue. We'd have no reason at all to randomly look at genuine users' PMs. We wouldn't want to do that and nor would we have the time, to be honest.
It is also worth knowing that lots of users delete their PMs once they've been read as a matter of course and that will also delete it from your inbox, so having deleted messages these days is pretty normal and doesn't mean there's anything dodgy going on at all. It's likely that the person who sent it to you deleted it. And of course you can do that with all your messages, too, if you don't want them hanging around.