From the limited information provided I can only suggest you look at the forward rule to see whether it deletes an email after processing. If that does not help then post back here with more details, i.e. email client, how emails are forwarded, etc.
I'm having a very similar problem, first seen a couple of weeks ago. Normally, I access email via two IMAP clients (PC and iPhone), and everything works as you would expect; deleting a message moves it to the IMAP "Trash" folder, visible on both devices. However, recently I was only accessing email via the iPhone, and I discovered that a message had vanished from my inbox (I don't think I deleted it but I might have done so accidentally). Looking on webmail showed the message still there but greyed out and with a line through it. One other message appeared the same, others that I know I had deleted were moved to Trash as normal. From webmail, I could move or forward this email, but while forwarding worked, moving just left it greyed out in the new folder. What I want to do is restore the message so that it is visible in all IMAP clients. I have read the earlier comments, but there is no local Trash folder on the iPhone that I can see, so they do not appear to offer a solution. Does anyone have any suggestions, please?
Yes, I did that: it isn't in that folder (although almost everything else I deleted is). In fact, there seems a whole block of time where there aren't any deleted messages, yet I think I deleted some most days. I was using unreliable WiFi at times so I can believe that some operations didn't complete correctly, but I can see the message in webmail (though nowhere else) and simply want to recover it.