I do know how you feel! This happened to me also. The reason is Microsoft Outlook default at: Delete pop3 accounts after download if you did not specify "Leave a copy of messages on the server" after loading the software. Here's how to stop that from happening.....
Open your Microsoft Outlook 2007
1.On the TOOLS menu, click ACCOUNT SETTINGS.
2.Under NAME, select the POP3 e-mail account that you want, and click CHANGE.
3.Click MORE SETTINGS.
4.Click ADVANCED TAB, under DELIVERY, select the LEAVE A COPY OF MESSAGES ON THE SERVER check box.
That's All their is to it! I made the same mistake.. Their is no way to retrieve them back to your server but it won't happen again, THANK GOD!! Later......the "SAX MAN"
I had the same problem. It turned out I was using the tools/send/receive/send receive settings/define user group etc. to make the changes. This resulted in the settings being temporary. To make the changes permanent use the tools/email accounts/change existing accounts. The check marks should stay now.