I had the same problem and I was stumped because I forwarded an e-mail and all of the messages in the conversation disappeared except for the one I had forwarded. I searched All Mail and the trash thinking that it would have ended up in there, but I followed the suggestion above and it was in the Spam folder. I don't know what I might have done to make that happen, as I don't think I accidentally typed ! or clicked "Report Spam", but at least it didn't disappear.
What makes it more frustrating is that the Spam folder isn't checked when you do a search (at least when a message is trashed, there's a warning that messages in Trash match the search), so the only way to find the message is to check in the Spam folder.