The developer, Michael Tsai said that a very nasty bug found in macOS Catalina, which users may lose all the e-mails. However, judging by the number of reviews, the problem is not very common.
According to available data, in some cases, after installing updating to Mac OS x 10.15 on top of macOS Mojave from the Mail app disappeared all messages. However, due to data synchronization server, the email is deleted on other devices with the same iCloud account.
It is noteworthy that there are other variations of this bug. Judging by the reviews, some users are faced with a partial deletion of the correspondence, or delete its content.
Cupertinos has not commented on the situation. However, there is a chance that Apple has fixed the bug in 10.15.1, testing which began yesterday. Michael Tsai while advises users to refrain from upgrading to macOS 10.15.