Why would Facebook messages from one person disappear?

[Ilmb]

They haven’t blocked me as I can still see them on FB?

Maybe they have just deleted them.

You can change who can see a post I think.

Not posts, private Facebook messenger? Very strange... when someone comes off FB you still see the message just no profile pic or name but can still see message. Surely I they deleted convo it just deletes off their phone not mine??