I was among individuals vocal in the past during my early days here about how soft it seemed staff was on certain users too, until I learned that people do literally everything except report issues, when I was under the impression that it was common sense to do that before literally anything (not all that common, it turns out). I was wondering if it had to do with making sure there was evidence for issues, too. I don't delete individual messages because I thought, as mentioned above, that there was likely ways to find those messages anyways, so I didn't even know it wasn't possible (I think..?). It makes enough sense to me personally tho, especially when I've unfortunately had to report before when I have the user multiple warnings to back off and that user had changed things up after previous issues to "hide", I'd hate for it to look like I was screaming into the void if the user tried to delete those messages after I told em they ran out of chances.
Protection of users definitely wins over minor inconvenience.