Disappearing Live Mail Folders
Yes, I have experienced exactly the same thing. I thought it was due to some boo-boo I had made, but your experience makes it sound more integral to the Live Mail program, (we are unlikely to have mad identical boo-boo's).
I have made c:/users/*username*/AppData visible, but manipulating the lower reaches of this tree-root system hasn't helped.
I have created a new folder on my Desktop and called it "WinMail Folder." Then open Live WinMail and go to File/Options/Mail/Advanced/Maintenance/Store Folder/Store Location/Change. Make your desktop folder, the new mail storage location.
When you close the Live WinMail, it automatically copies gigabytes into the new desktop folder, but gigabytes of past messages do not then seem to appear in the screen. Perhaps re-indexing is the answer, I am pursuing that now.
Best wishes. 9th November 2012.