I have noticed on a customers site a email Distribution group which was working fine, now has no members in it, I have inserted the correct members back in and all is working fine again, would the emails they have lost be kept anywhere or would they have just simply bounced back to the sender.

The messages sent to this distribution group are lost. Since there where no members to distribute the messages to they would simply die. There are no way to recover these messages that i know of.