This may be caused by several things. Usually the mail is stored in another folder, like the Sent-Mail folder or the Deleted Mail folder. You can check these folders via webmail.

It may also be caused by having Spambox enabled. Spambox will create another folder called Spam and place all e-mail messages there that appears to be spam. This folder can be checked using Horde Webmail, and it may be cleared by logging into your cPanel, then go to Mail, then go to Spamassassin and click the Clear Spambox button.