ISTR that at sometime a great many records were destroyed when one of the offices was gutted by fire - but that might be WWI records.
It was WW1 records. In September 1940 the War Office Depository was badly damaged by fire during the Blitz, leading to the destruction of around 60% of service records from the Great War. Pity they never thought to move them to that cave in Wales alongside the stuff from the National Gallery, etc.