Just going to voice my support for this. Also, this kind of message
Isn't really a neutral or non-aggressive way to say "While the feature would be convenient and remains to be implemented, I'd keep a text editor open to backup my message drafts". There are very few situations in which I've ever heard anyone say "There's this handy thing" where it hasn't been some sort of passive-aggressive dig at the person being replied to, and for something so obvious as keeping a text editor open there's really no reason to assume that Mayor hadn't thought of that before.
At any rate, I'm down with this suggestion since my PMs get deleted in this manner as well, security measures or otherwise. I used to be of rank in an alliance during Beta and when I needed to send urgent messages I encountered this problem with some frequency, with nothing on my browser other than Adblock. It's especially strange since the textboxes in P&W seem to be just regular textboxes, so they shouldn't have any fancy WYSIWYG editing or other scripted shenanigans going on to interfere with the text being saved when you navigate away.