Yes, I'm seeing other reports of users losing emails. Dan Frakes that writes for Macworld had been reporting this problem for his smart folders on twitter.
Do you have Time Machine backup?
If you look in your Mail folder in the User's Library, do you see the Inbox? Drill down in the folder to see if you can see the missing emails.
Go to the User's Library folder. This folder is hidden by default. To unhide: Select the Finder in the Dock. Under Go in the Menu bar > hold down the Option key and you’ll see the Library.
Go to Mail folder > V2 > AosIMAP-YOURNAME >INBOX.mbox
Inside the INBOX.mbox, you'll see a folder with a long name. Drill down in this folder to see if there are any messages.
As a safeguard, you might want to consider forwarding your messages to another account. If you don't have another account get a free Gmail or Outlook.com account.
Forward all messages automatically
- In iCloud Mail, choose Preferences from the Action pop-up menu in the sidebar.
- In the General pane, select “Forward my email to,” then type the forwarding address in the text field.
- If you don’t want to store a copy of each forwarded message in iCloud, select “Delete messages after forwarding.”
Keep in mind that storing copies of forwarded messages decreases your available iCloud storage space.
- Click Done.
You need to report it to Apple Feedback so it can be logged and put in the queue to be fixed.
http://www.apple.com/feedback/macosx.html