Where aren't they disappearing? From the thread itself on your site?
In general, when you 'delete' a message, you aren't totally deleting it. You are hiding that comment from anyone who is not a friend of the user. The user that made the comment and any of their direct friends will still be able to see the comment. That's done to prevent censorship of users since you can't really be allowed to not let them speak.. you can hide that comment from the majority of your users though.
I hope that helps explain, but if you're seeing different behavior, let us know.
Thanks,
Alex