Messages over 15 days do remain if they aren't displaced (though the link leads nowhere)
Messages under 15 days are deleted automatically when the box fills, and cannot be recovered.
I'm actually more annoyed by the latter. I wrote a comment in one of the front page conservative circle-jerks that may have set a new personal record for most moderations. Unfortunately the comments telling me about the moderations applied to it are all gone forever, so I can't tally them up any more. The number of replies - currently at 74 - is almost certainly a new personal record for one comment. It's too bad that even the moderation summary is utterly worthless - I know it received more than just "insightful", "interesting", and "troll" mods. And for that matter, the arbitrary percentages of those three only total to 80%.