People do record their incoming and outgoing email. Smart ones will store it offsite (auto farward to their home machine). Others will pgp them online. Mostly though the cleartext email files will be happily archived away each night to the nice friendly DAT tape down the corridor in the machine room.
I mistakenly interpreted the original posting as "outgoing only." Incoming mail must certainly be saved; however, backing up an outgoing mail spool on a busy machine is senseless. By "busy", I mean "that machine which serves as a mail server". Outboxes change the situation, but they are not universal.
Me, I just nuke any sensitive information that may arrive in my work mbox, or save/forward it to a safer place. I discourage people from using my work address as a regular personal contact point.
This brings up an interesting point, namely: where is your email secure? If the FBI or security agency of your choice decides to clamp a legal hold upon the machines upon which you work, they surely wouldn't be so foolish as to forget about your home machine over that frame-relay or ppp/slip link. In such a situation, telling people to use any mailbox at all is useless unless they encrypt with a relatively secure encryption package, z.B. pgp.
Also ensure your admins aren't the nosy types. I started work at one place and noticed in the /.sh_history file that the previous admin was regularly grepping peoples mail spools for his name. This caused some concern to the management when they were informed. Obviously these forays were not part of his everyday job and were a personal endeavour.
This is a problem, and almost certainly more of a problem than security agencies demanding your backup tapes. There's also no way around it; the only solution is encryption. ~james