The Folder Properties dialog (on the menu shown with alt-click on a folder icon) has a number of tabs, but the Mail Expiry Properties dialog is separate. I think it would make sense to remove the separate dialog and make it a tab on Folder Properties.
I set the expiry properties sufficiently infrequently that I'm usually caught out by this, and initially go hunting for the settings in the folder properties.
I initially raised this in bug 298894, which was closed as a duplicate of bug 115611. However, the latter was for kmail1, and has just been closed as kmail1 is unmaintained now.
Bug 115611 has been reopened and updated for KMail2.
*** This bug has been marked as a duplicate of bug 115611 ***