Michael's death of course deeply affected Barrie, but when the letters were returned to him, he didn't have the letters burnt - he only asked for them to be disposed off. It was Peter LD who burnt them at a later date. This is what Andrew said in posts on this forum in 2009:
"I don't think anyone would have dared "edit" the Barrie/Michael letters while Barrie was alive. When he died in 1937, everything was packed up and put into storage, where it remained until 1946. It was then that Peter began writing his massive "Morgue". He planned to finish it with Michael's death in 1921, but in the event only managed to get as far as George's death in 1915, which evidently undid him. Read his letters to Mary Hodgson on the database to judge for yourself, but my guess (and Nico's too) was that he burned the lot in the early 1950s... "they were too much"."
"Sadly for us, Nico was 99% certain Peter had burned the lot. That was in 1976, and nothing has shown up since apart from one letter (in my book and the database) that was muddled up with Barrie's letters to Nico."
As far as I know, Barrie continued writing lots of letters after Michael's death, but perhaps fewer than before as Cynthia Asquith was taking over more and more of his correspondence, and he himself had health problems. Nico would have written to Barrie after his marriage as they had a close relationship, and Nico's wife got on well with Barrie. I suspect Nico's letters are now in the Beinecke Library at Yale University, along with most of the remaining Barrie archives sold to the library by the Asquith family.