Go to your message page and you see the drop down box? it says "sort by" go to "read/unread" and you will find any archived messages there :)
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I have "archived" a number of my messages so that I could save them after the 90 days period after which they are routinely deledted by chess.com.
However, I have not found a way to actually retrieve those messages. Has anyone else experienced that problem and, if so, would you kindly let me know if you resolved the problem and how?