This may be due to a scammer sending you a message, scammers leaves bunch of messages to lots of people asking you to answer to an yahoo address and then delete their profile a couple hours later. The message you received is a notification from PP that says you have received messages but by the time you go check the email in question it is not there anymore due to the fact that when someone deletes their profile any emails they have sent dissapears.
Check if the profile in question still exists if not then lots of chance it was a scammer message.
Yes you're right Alz..when msgs just "disappear" it means it was from a scammer and every trace of them has been removed from the site including any emails that have been sent out...so markn72..you have just been saved from the clutches of a scammer lol