Version: (using KDE KDE 3.5.5)
Installed from: Ubuntu Packages
If you enabled the pop3 option "leave fetched messages on the server" but not enable "leave messages on the server for X days" mails should stay on pop3 server for ever. But instead of this all mails are deleted from it after receiving them.
I have had the same problem, though I don't yet know whether the workaround of specifying a retention time works.
Debian testing amd64
This bug seems to be fixed in Kubuntu 7.10 Gutsy Gibbon Tribe 2 so it should be at least fixed since Kmail version 3.5.7-1 (4:3.5.7-1ubuntu4).