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.