In case this should assist anyone: I've spent two days trying to figure out why emails from a specific sender is silently being deleted after downloading. Believe me we've tried all options!

I found a work-around: Tools> Mail Filtering Rules> Edit new mail filtering rules> Rules applied when folder is opened > Add a rule>
From - The errant email address, Action - Copy, Set - New mail folder.

That doesn't make sense?
The message would already be in new mail folder (*.CNM) so copying it to the New Mail folder would be a do nothing. Look at your rules, you probable either had a rule that deletes the email, or moves it to a different folder.

Do a search for the users email looking at all folders, and see where if finds emails.
Might be it is going to another folder, either with a rule that moves it by another options.

When the "Preserve deleted messages until Pegasus Mail closes" option is enabled, deleted messages go into a Deleted messages folder. I suggest insuring this option is enabled, disabling that new mail filter you created, then seeing if a message from that specific sender ends up in the Deleted messages folder. If not there, or not in the New mail folder, do a search in the entire mailbox for that sender. Sorting the search results window by date/time might be needed to bring the newest messages to the top. The message should be listed. If the folder in which it was found is unexpected then there may be an active AutoFilter associated with that folder.