mails that have received were deleted automatically. I have set to keep all mails not to delete. How do I set how to keep all mails?

Most folk use the synchronized IMAP mail protocol, so I will assume you are as well. Have you checked your mail provider does not have a policy that conflicts with your setting. (note that in a contest the server always wins, so you can not set a permanent retention if your provider deletes mail after a time)