This is not surprising. When an investigation gets underway, the company being investigated will notify employees that any assets relating to the subject of the investigation should be retained. Typically, this covers all physical and digital documents and communications.
They might, but HR will (or at least should) fire anyone who does that - that is guards escort you from your desk to the door. Then to add insult to your bad day, you get summoned to court for your contempt of court hearing. It is to the companies advantage to turn in anyone who attempts to destroy everything - it shows the court they are serious about saving everything which might be useful if they need to claim something was an oversight. Of course if you are the subject of that wink wink thing - assume they are trying to make you take the blame for the company.
Not that they are likely to be able to do much. My company first presses the button in exchange to lock everything electronic I have so I cannot delete it, before they let me know that I need to save everything (or so they claim...). Thus I cannot really delete anything. I might be able to shred something, but who keeps paper records of anything (and if by chance I do have one, odds are it is a printout of something where there is still an electronic copy). While I don't know what company you work for, it they have any size at all they should have similar processes in place so there is nothing you can delete - but the act of attempting it will be noted and brought to court.
