This feature request touches on this issue, although from a different angle than what I'd like to propose here.
Once in a while moderators and the community team have to investigate various chat incidents. We can see deleted chat messages if we're in the room itself, but often these incidents occurred a few hours or even days in the past and it can be rather hard to navigate to the right spot to look things up.
When some sort of chat altercation is reported, we usually get a link to the transcript, which is great but removed messages don't show up in the transcript at all.
I propose we show them the same way as we do in the room itself if the person looking at the transcript is a moderator (or a room owner) and allow the deleted message's history to be looked up directly from the transcript as well.