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I believe this is true.
Removing data affects all reports since that data can no longer be seen and compiled. At least, this is what I have seen and what is documented on other reports. For example, it is better to Archive a Program or campaign, otherwise its data is lost from reporting.
So you may want to collect email data in excel if you are concerned about historical information.
Unfortunately, it seems like you were given incorrect information. I confirmed with the product manager for emails and he said the email performance report will show activities from deleted leads. You will not see them in the smart list, however.
Protip - If you add in a smart list filter, Email Address is not Empty, it'll filter out deleted record activities in the report.