neither the moderators nor I have access to your private messages.
so, whatever was deleted was NOT a private message.
you might have intended to send a private message, but whatever it was has to have been posted somewhere public.

if you receive a notice that a "message is moderated" it refers to a Visitor Message somebody has posted to your profile. those are visible to any registered member who is signed in and who looks at the public part of your profile.

neither the moderators nor I have the time or inclination to randomly or systematically check profiles to review visitor messages.

members are able to moderate (edit or delete) their own Visitor Messages.