If you select phone memory the messages will be on C:\Sytem\Mail; for the MMC it will be E:\Sytem\Mail. Probably you made the swap between memories sometime and you copied the MMC on the phone after selection without realising.
Anyway: the best solution is to send them to the PC or just store them as a txt file in one or more locations. In this way you can be more than sure that the msgs won't be lost.
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