If a message completely disappears from your inbox, that means that the member with whom you were communicating either deleted their own profile or was removed from the site. We know it’s always sad when someone leaves, but we hope they’ll come back someday!
And if you're curious: If a member were to block you, you would still see the note in your inbox, you just wouldn’t be able to reply.
Hope this helps clarify,
The Grokio Team