I wish the system wasn't set up to do that and have queried the purpose of it.
If I create a pm, I should be allowed to keep it. GNHQ say no. Apparently something to do with data protection regulations. GN has to be GDPR compliant !
As the others have said, once you start a pm and it becomes a conversation, if either party in the conversation deletes their own message, the whole conversation is deleted (both sides).
I was once tempted to report a pm I had received but I decided to reply to it to resolve the situation. Wrong decision, so when I went onto my pms, less than 24 hours later to report the sender and ask GNHQ to investigate the conversation, my one pm and the sender's pms had been deleted: by the sender.
I explained my predicament to GNHQ but they can't reinstate deleted messages and will only act on pms if they are reported. Catch 22 situation.