I'm new so I don't know if it's a technical issue or if the customer is able to delete messages after they are sent. But I got an Etsy notification saying I had a message from someone but I go to the inbox and nothing is there?
Etsy may have deleted it.
Why would Etsy do that? Was is spam or something?
@MunchiesMinisMarket: If Etsy determined that the sending account was a spammer / scammer they may have closed the account and deleted the Message(s).
If the notification you received was the eMail copy of the Etsy Message, you can still see the original Message by looking at the raw view of the eMail (how you do that varies by the eMail client you use).
Scammers tend to target new shops. Things to read:
https://community.etsy.com/t5/Announcements/Protect-Your-Account-From-Scammers/m-p/143158945#M1882
https://community.etsy.com/t5/Announcements/New-From-Etsy-section-in-Messages/m-p/143722497#M1899
https://help.etsy.com/hc/en-us/articles/360000343128-How-to-Handle-Spam-and-Suspicious-Messages