It probably is a matter of message security. If you restrict your messages to (your) "Friends", and you remove someone from being your Friend, I'd hope that those messages vanish from that person's view. Similarly, if that person restricted messages to (their) "Friends", and you unfriend them, according to what was relayed above, that would necessarily remove you as one of their "Friends", and so those messages should vanish from your view.
Some folks publish, by default, to "Everyone" so I suspect that would end-up with a different result.