Hi there,
The most likely reason for this is that in your PM settings, you've selected the 'If folder is full' -> 'Delete oldest messages'
So anytime you get a new message, the oldest one will be deleted, and you'll see this message at the top of your inbox.
If you have set up a filter for your inbox that deletes certain pms than that would be the other reason you would see that. You can see any filters you've set up, as well as the above mentioned option on this page;
Forum/ucp.php?i=pm&mode=optionsYou actually wouldn't see this message from blocked user pms or from the pound PM if you have turned those off in the settings, since those settings stops those message from being sent in the first place, there would be nothing to delete. Blocked users would be unable to add you to a PM in order to send it.