This hasn't happened to me recently, but twice in the time that I've had the phone (since last July), it's just randomly and without warning obliterated all of my SMS messages, leaving me with a completely empty inbox.
do you have the delete old messages setting turned on? how many sms messages were there in each conversation? 200 400 800?
if there were copious amounts of sms messages your phone may have deleted them to free up necessary system memory. if this is not the case and you have delete old messages turned on or there weren't that many messages per thread...i don't know what it is. i've never had this problem on any of my androids. and never on my Inc specifically