If mail’s getting deleted on the server too, this sounds to me like it’s not probably an iPhone specific problem, but either something on your Exchange server, or maybe your mail client. I would suggest if it’s something you can reproduce pretty extensively, then I would try and not run any mail clients against the server and see if you can reproduce it. I’m wondering if what might be happening is mail is coming in and you have a client side rule, e.g. in Outlook that might be moving mail to a PST, or perhaps to your junk mail filter? Or maybe you have a server side rule setup that is moving rule based on some criteria you set in the past?

I wouldn’t rule it out as being a problem on the iPhone, but it sounds like it’s more a server or client based problem. If you’re using IMAP and not Exchange then that would possibly explain it as I’ve seen this happen on IMAP quite a bit and it’s not related to iPhone. If you can provide me with your configuration, I’ll see what else I can suggest.