It just happened to me too. I have it set to auto delete messages after 200, 210 if there are MMS in there. Texting has been bugging out a little today. Sometimes, I'd click a thread with one person, and it would open another thread, or things like that.
When it happened, I opened messaging to read an unread message, and it opened into a thread that got deleted between me and another person. I go back to the thread menu, where only the unread message is now. The entire thread, which had been maxxed to 210, and had been auto deleting properly for a while now, was entirely gone as well. I had a ton of apps running in the background... Maybe that was it.
It wasn't the end of the world for me, as I have missing sync and most of my texts were backed up, but I had a text that was locked that got deleted as well.
Oh well. I'll survive. Hopefully whatever causes it gets fixed in an update, even if it's by accident.