The news groups stored on your computer are worthless since it's normally
only readable when you are connected to the news server. But the next time
you connect to the news server, by clicking on the newsgroup, if the
message no longer exists on the server, your local file will be altered so
that it reflects that information.
We complained about this behaviour for years, contending that a users stored
files should be inviolate until he/she decides to delete them and were told
in words that are simple to understand - "tough." The only option for those
who wish to save some newsgroup messages is to create local mail folders and
select the desired messages and then right click and choose Copy To and
select that local mail folder. The Move To option is not available while
reading newsgroups. And unfortunately, that copy action may cause problems
with threading.
There are no programs I'm familiar with that are intended to extract news
messages (nws files) such as those that exist for mail. If there were
enough interest, maybe someone could be persuaded to create such an
application.