private message had been removed due to private message filt

kriki

One private message had been removed due to private message filters

You can find this text when you enter your inbox (or any other folder).

The reason can be these:
1) You have some Rule to delete PM's in certain conditions
2) (more likely). You have the folder option "If folder is full"="Delete oldest messages". In this case when your folder is full, the oldest PM's will be deleted until the new messages fit in it. Why not when someone sent a PM? Because until you check your Inbox, these PM's remain in the outbox of the sender.