I have been compacting my folders in OE since Win 3.1 and never had it lose my email. Plus I never had OE ask me to do this little chore, but then I have the boxed checked to do this in the background for me. You can check under Tools>Options and click the Maintenance tab.
While you're on the Maintenance tab, you can check and copy the path to your Store Folder by clicking the button. This is where the *.dbx files for OE are kept. You can also change this folder to something more convenient if you haven't already done so. I use My Documents\My Email as my store folder and have put My Documents as a Tool Bar so I can go to everything in this folder.
If you decide to change folder path, OE will automatically move your files to the new folder. Should you want to see if there are missing email on your HD, search for *.dbx and *.eml files. If you saved an email as a *.txt file, you are going to find a lot of these!
If all this doesn't get it, try downloading Outlook Express Recovery Tool
Hope this helps.