This is because a spammer sent you a PM. Once we realize a spammer is active, we delete the account. When the spammer's account is deleted, so are all the messages the spammer sent.

I'm sorry for the inconvenience, but some of the spammers are either too good for the captcha or are actual people. I'll look into a better solution.

[I made this thread a sticky so other users with the same question can get it answered faster.]
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Power to the PowerPC!