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This is correct. They are also certainly not deleted from your record either. I have requested a copy of my data from Facebook, and it contained messages that

by nwh 14y ago

This is correct. They are also certainly not deleted from your record either. I have requested a copy of my data from Facebook, and it contained messages that both parties have been deleted. That's to be expected though.

spullara 14y ago
This happens to be the opposite of the way Twitter direct messages work though.