Shoutbox

Did you recently change the path to where the logs are saved? Perhaps they still exist in an old folder? If you can't find the file anywhere it is unlikely it ever got saved.

Does it save new conversation you have from now on? Messenger doesn't always save conversations direct, if the conversation window is still open, close it. Conversation are often only saved to disk once you close the window, this is done to keep harddisk activity down during a conversation.