Possibly for the Inbox, you've set View, Show or Hide, Hide Read
Another possibility is that the same account is being accessed via POP3
by another mail program, PC, device, anti-spam program, etc. and it's
set to delete messages from the server (often the default for mail
programs). When that runs, it would delete the messages from the server
Inbox after downloading and then when you check via IMAP in WLM, they
would get deleted in WLM since IMAP synchronizes folders between mail
programs and mail servers.