While looking at my inbox just now, I saw this message:

One private message had been removed due to private message filters.

Since I didn't set up any filters, I assume this is defined in the forum itself. What kinds of messages can be removed? Should I worry that a legitimate message might have been sent to the "Quest spam folder"?

I think this happens when your PM inbox is full - new message cause old ones to be deleted.

Ah yes! That was it. Wow, I hope I didn't miss anything important.

I think it deletes old read messages first. At least, that's what I always assumed.

I see. So it's more notifying you that you lost an old one as opposed to a new one. That makes more sense.

Same thing happen to me at other forum. I guess the are coded alike.