I have received a copyright infringement alert, what should I answer?

They did say don't delete anything and my lack of legal knowledge prevents me from saying confidently to what extent they really can do that, but I strongly suspect that if push came to shove you couldn't really get in to trouble for deleting things given you could well never have received the email or had some kind of a problem with the system causing you to lose data, however you can bet that your plausible deniability would be greatly constrained if you respond, therefore acknowledging that you have seen their request that you not delete things.

Your reading skills are horrible. The law firm needs to keep all records regarding their evidence in this matter. OP isn't being compelled to keep anything.