There used to be two different places for ephemeral and permanent messages on Instagram’s Direct feature. But that’s changing with this new update. The disappearing messages will now show up in the permanent chat thread. The ephemeral messages will still disappear after the photo and video have been viewed but a note will be left behind mentioning something was shared there before. The change is made to make it easier for you to keep track of your conversations on the service.
Source: The Verge