I appreciate your cynicism.
I'll tell you that Sony keeps a cache of all IMs and all IM attachments on their servers indefinitely, as well as a lot of other data. PlayStation Plus members, such as Sonichu, have more data stored than others.
On the PS3 IMs and their attachments are stored as .dat files. All PS3 HDDs are encrypted. The encryption algorithm is dependent on the model where the data is stored. Sony possesses a secret key on their servers that can be used to decrypt the data and verify its hash (to make sure its actually an IM being sent from the intended/verified sender and being sent to the intended/verified target). After it has verified on the server, the PSN, the file is then sent to the target, re-encrypred by the client, and stored. This allows users to view messages even when offline. But in order to receive the message, the client has to log in to their PSN account on the PS3. If I sent you a message 15 years ago, and you login today, that message will still be sent. From this point, the IM is stored in 3 places, encrypted in 3 different ways, one on the sender, one on the server, and one on the target. Even if both the sender and receiver delete the message locally, it remains on the server.
To learn more I'd strongly recommend viewing Sony's data collection disclosure for the PS3, and the PS3devwiki. Everything that Sony reserves the right to collect is collected.