Undoubtly, you've received a message with DELETE and CONTINUE buttom...
Probably you hit delete Undecided Cry
Very strange situation. But I'm clearly remember, that I haven't seen any warning message.
So you must have being using the TheBat plugin of avast!
As avast won't store 'deleted' messages... Can you remeber who have sent that email for you?
This letter disappeared even before reaching TheBat!. I use the tandem of ChoiceMail One and TheBat!
ChoiceMail checks my POP3 mailbox filtering spam and other unnecessary stuff and then TheBat checks ChoiceMail for cleaned incoming mail.
In my situation avast intercepted pop3 traffic whilst ChoiceMail was checking for new mail.
Anyway I managed to get my mail once more time from my sender. And now I put avast into silent mode letting it deliver everything.