According to Reddit, if you find that many of your conversations are missing, it's not a bug but a feature of the site. In fact, the company announced it, but in a subtle way.
See also: Reddit: Which third-party apps will continue to work

Reddit hasn't gained many friends lately, and there's a reason for that.
The uproar arose when it decided to dramatically increase the fee for accessing the API that exposed data to third-party applications, such as Apollo. This led to massive protests from moderators and users, which even included a clever way to distribute revenue from subreddits. The company threatened moderators in response to their protests.
Now another way has been found to annoy users.
Reddit users noticed that the site unexpectedly removed chat history before January 1st of this year. Those asking why are being directed to a changelog update from June announcing feature updates to chats. The title of the update said nothing about the data being removed and hid any mention of the removal at the bottom with a vague, single line:
In an effort to have a smooth and quick transition to this new infrastructure, we will be migrating chat messages sent from January 1, 2023 onwards.
See also: Reddit: Will remove mods from private communities if they are not reopened
Apparently, although the company announced its plans last month, it only did so via a changelog and not through a blog post or sending messages to users to inform them.

This meant that most people were completely unaware that the plan existed.
Reddit confirmed that you can request a copy of your data from the platform and mentioned that this will include all of your older conversations.
The link refers to the data access request required by EU and California. This means that, if an individual requests it, companies must hand over all the personal data they hold about that individual. Reddit processes these requests, even from users outside of those regions.
See also: Reddit: Brings accessibility updates for moderators
However, some users report that not all of their older conversations are included in this data.
