I have a Blackberry 8700 that keeps deleting messages after 30 days even though my message options are set to keep message forever. I have changed this setting twice and still end up with the same result. The BB is connected to a BES.
if you are on a BES it's likely a corporate policy to keep messages for only 30 days, do not try to remove the IT policy from the device if you are on a BES.
The *only* way to get that changed is to talk to your BES admin, and see if it is possible.