What you should see is a station message with the same id but no stations associated with it.
What I do is if I see a message with stations I add or replace the existing one based on the id. If I see a message with no stations then I remove it.
Here's an example from this morning:
New StationMessage:
<?xml version="1.0" encoding="UTF-8"?><Pport xmlns="
http://www.thalesgroup.com/rtti/PushPort/v12" xmlns:ns4="
http://www.thalesgroup.com/rtti/PushPort/StationMessages/v1" ts="2018-04-12T08:16:58.9016076+01:00" version="12.0"><uR updateOrigin="Workstation"><OW cat="Train" id="73436" sev="1"><ns4:Station crs="GLC"/><ns4:Station crs="DRM"/><ns4:Station crs="CRS"/><ns4:Station crs="WTA"/><ns4:Station crs="SDM"/><ns4:Station crs="KKN"/><ns4:Station crs="CLU"/><ns4:Station crs="NBW"/><ns4:Station crs="SLA"/><ns4:Station crs="HYM"/><ns4:Station crs="EDB"/><ns4:Station crs="PST"/><ns4:Station crs="LND"/><ns4:Station crs="WSH"/><ns4:Station crs="MUB"/><ns4:Station crs="MTH"/><ns4:Station crs="CUH"/><ns4:Station crs="KGE"/><ns4:Station crs="WAF"/><ns4:Station crs="LNK"/><ns4:Msg>Disruption to ScotRail services between Carstairs / Lanark and Glasgow Central. More details can be found in <ns4:a href="
http://nationalrail.co.uk/service_disruptions/188523.aspx">Latest Travel News</ns4:a>.</ns4:Msg></OW></uR></Pport>
Removed Station Message:
Peter