If your compliance monitoring application will let you store and view those unsent, often inappropriate or ill-conceived, messages then you're going to have to cough them up during discovery or during any investigation by regulators.
That is exactly the point. The 'compliance' refers to compliance with the regulators/regulations.
I work for a company that provides call and SMS recording solutions to banks where they can record the phone calls and text messages sent and received by their employees on their mobile phones. This doesn't mean all employees, it's just those in certain positions like traders.
Doing so is an FSA requirement - banks *must* do this in order to gather the evidence that can prove or disprove that traders are involved in things they shouldn't such as insider trading, libor rate fixing etc. The bank has a team that is responsible for monitoring those communications and preparing reports for the FSA proving they are recording these communications as required (which is essentially showing you have a recording of every call made/received).
This is just an IM platform catering to that market.
Of course, the beauty of all these systems is whenever the SEC asks for emails, they are often "missing" due to backup or archiving mishaps. The fact that the penalty for not producing the emails is significantly less than the penalty for financial misconduct is purely coincidental.