Odd. In the membergroup Hylian, users can get and store unlimited PMs. Even Event Managers too. Even before I became a manager, I had somewhere between 12 and 17 pages of PMs, so I do not see what's up now. Clear the cache?
Wait...Did you get anything about a warning either before that. If not, then I know what did it. It was probably something Infinitus had installed. Basically, it's sneaky. If you haven't read your warning and then it had been reversed, the PM you were sent gets deleted without you knowing. It eliminates some confusion. You might have had that happening to you with everything after that warning PM getting deleted too.