Not sure what DaniWeb's policy is, but for other forum-type sites that I have contributed to we kept all PM's, emails, forum posts in database tables. If the owner of the message deleted it (by pressing a button for example) then we archived the message to another database table that was not accessible to the general public. This way we had a record of abusive posts, bullying etc even if the sender tried to delete it.
From a legal standpoint there are only certain things that are illegal to store. Off the top of my head I know that signatures (that is hand-written credit card authorisations) have legal implications for example. But things like emails, forum posts, blogs etc should be ok to store indefinately.
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