Maybe you have some filter, content control, or spamhalter acting on the messages.
Suggestions to help you start to diagnose the situation.
In Pegasus:
Tools > Options
User Interface > Reporting/logging
Increase Reporting level to 5 - Debugging messages
Download , extract the ZIP archive contents and execute Procmon.exe.
Immediately stop the capture, clear the display, and add some filter rules.
File > Capture Events (Ctrl+E) or Magnify Glass icon
Edit > Clear Display (Ctrl+X) or Eraser icon
Filter > Filter (Ctrl+L) or Funnel icon
In the Process Monitor Filter dialog create filters:
Process Name contains winpm-32 include
Path contains .cnm include
Path contains .pmm include
Press the Add button for each rule.
Process Monitor Filters:
Press the Apply and OK buttons when completed.
Start a Capture (Ctrl+E)
In Pegasus; initiate a Selective mail download.
Select one message, Mark for retrieval, and Make it so.
Return to Process Monitor and stop the capture.
By looking at the capture you may get some clues.
Also look in Pegasus at Window > System messages.