When I first go onto Candy Crush I'll have a number of lives sent me by friends. If I add them when my lives are full, I lose them. If I try and add them when I've used a couple of lives, they've gone. Something doesn't add up.
As long as you close the initial inbox pop up contain lives without redeeming them, they should still be available to claim later but they will be removed if the session is restarted or closed.