Sounds like it.
EBay Messages are mostly for pretty ephemeral stuff, like asking if a book is a first or second printing, or for a closeup of a designer label.
Once answered, there would be no reason for eBay to spend expensive web-space on them.
I just checked my messages and the oldest ones in my Saved Messages is from November /16. It's my monthly fees and I save those religiously and have for a couple of years.
Hmm-- guess I should print them off instead.