Once clicking on the Messaging icon which is on the right top of the SkyDrive:

1. The whole message history will be loaded for each person (Others, like Outlook, People, and Calendar, will only load the last message for each person)

2. Even the person got deleted from the contact/people, the message history still exist for that person in the Messaging of the SkyDrive; but others, including Outlook, People and Calendar, will not show the messaging history for that removed person.