This is a limitation inherent to Windows Phone 7.x devices, for example, Lumia 800. The Windows Phone 7 platform is capable of transferring only 500 messages.
- What to check if I can't sign in or create the Microsoft account on my Lumia phone during the initial setup?
- How do I remove my Lumia phone from the account settings at windowsphone.com?
- How can I transfer my contacts, messages, calendar entries or photos to my Lumia?
- What can I do to increase speed on my Lumia?
- I cannot end a call because my Lumia screen remains black