With Millions of people using Mail, I think there would be a huge outcry if Mail was vanishing Mail from the InBox. Mail just displays the .eml files stored in the mbox folder structure, it doesn't encode or encapsulate the files. They are stored in your ~/Library/Mail folder.
The only reason Mail would vanish is either your HardDrive is Failing, you have a rule set wrong, or you have an IMAP account and you're offline.
Have you looked in the Mail Trash, Is this a POP account? Do you have your account set to leave Mail on the Server for an amount of time, sometimes you can use a Web Browser to access those.
If the Email is it worth the effort you could try a Data Recovery application.
In Mail > Preferences > Accounts > Mailbox Behaviours Enable Move deleted messages to Trash Mailbox and set the permanently erase deleted messages popup menu to Never.
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