Many thanks 'a brody' and 'MartinR' for your replies.
I've spent the morning looking into it and I think the problem is due to the second of those two possibilities you mentioned Martin. Let me address them both:
1 - Before posting on here I had investigated this possibility and as far as I can tell there are no settings within iOS to alter the timescale with which deleted messages are emptied from the trash, which has led me to conclude that possibility two is the problem.
2 - I agree that iCloud does delete messages after 30 days so the option within Mac OS (Mail>Preferences>Accounts>Mailbox Behaviours>Erase deleted messages: Never.) is probably just a historic anomaly or perhaps it is there for users of other Mail providers who do not have the 30 day limit to have a certain element of control over their deleted messages.
The only workaround I can see is to get into the habit of using the Archive button when 'deleting' messages that you think you might have use for in the future and saving the 'Delete' button for those messages you know you're never going to have use for and are happy to be erased from the server.
I think having that option in Mac OS for iCloud accounts is a bit of a red herring IMO, perhaps the iCloud guys need to speak to the iOS and Mac OS guys?
Anyway, thank you once again. If anything contrary to the above turns up I'd be interested to hear about it.