My mail messages saved to folders are not there?

I have many folders created to save incoming mail. I have set preferences so that the folders "NEVER" empty. When I go back to look at something, the messages are no longer there. This is a relatively recent phenomena (Past six months or so), it didn't do this before that. I have tried to enter mail and retrieve them from Time Machine but that didn't work. Time Machine created a folder in the tree, but there was nothing in the folder. What does anyone think is going on and how can I fix this problem?