I got a notification for a message in chat and, when I clicked on the notification, was taken to a chat transcript for a three-hour period of quite a busy room. The page did not auto-scroll to the message in question, and the only timestamp given in the notification was the rather unhelpful "1 hour ago", so I essentially scanned through the transcript trying to find the message. I still couldn't find it, leaving me confused and frustrated.
Eventually I made my own way into the live room proper and scanned the message IDs sequentially, comparing them to the ID from the notification link; I eventually found that the message in question had been removed at some point. Removed chat messages don't show up in the "static" transcripts, so this had been completely invisible to me.
Might I therefore suggest some way of indicating, upon clicking on a notification for a deleted chat message, that the message no longer exists?
I shan't suggest removing the notification entirely as I believe there is a precedent from comments and answers not to do that; if I'm mistaken on that then at the very least I think I'd still like the notification. That mentality stems from my being able to read deleted answers as a high-rep user, even though that applies neither for comments nor for deleted chat messages.