Interesting. That is different from what I was experiencing, where mine were being deleted after 7 days.
So one work-around would be to change your preferences so that when a message was deleted it was moved to a different folder ("Trashed" or something like that). iCloud wouldn't know anything about the change, and it would never be deleted. You could make this change on all of your iOS devices so that everything was still synchronized.
Not a satisfying solution, since you still have the same unhappiness about Apple taking away choices we ought to have, but it would at least work.