If a message has disappeared from your mailbox, it is likely that the sender of this message has deleted his or her account. In this case, you will see the mention "account deleted" appear in the conversation history with this profile.

You can search by the username of the profile in question to see that the profile no longer exists on the site.

If you are using the account as a couple for example, make sure that this message has not been deleted by one of the two users.