What was the content of the message (I believe it tells you in the email)? However, it was very likely a spam message by a bot and I believe some of those are being pruned after the account is banned so maybe that's why.
As a security precaution, the body of the message is excluded from the email notification if the message is sent from a newbie account. It helps prevent cases of identity theft and people trying to impersonate more senior forum members for the purposes of fraud. I've had at least three email notifications in the past about a private message and then there's nothing in my forum inbox when I check here. They were probably sent en-masse to multiple accounts and easily flagged as suspicious, so I've always assumed they were deleted by the admins due to malicious content and that I wasn't missing anything important. On occasions when they aren't deleted, the private message on the forum will also be accompanied by some bold red text stating that the message is sent from a new account and that they shouldn't be confused with any other forum members with a similar name.
In theory, there should be less abuse of it going forward with the
new PM limits imposed last month.