Clicking "Delete All" when viewing my "Entries and Comments" folder only deleted those. Or are you talking about comment notifications versus entry notifications? (I have no idea about x-post messages, as I never x-posted)

The main problem here might be that just reading the message doesn't seem to mark it as read, as they are unfolded when you look at them and so can read them, but you need to actually click on them so that they are marked as read. So I suppose you didn't do this and hence they were deleted :/ Which is bad, I agree.