There are several features of the PM system that should be tweaked in my view. That one never bothered me, but I don't like that my replies are not saved. I have always enjoyed PM on other sites which provide an inbox AND outbox. I can never remember how insulting condescending or unintellible my last reply was and there is no way to know unless your correspondent sends it back to you.
I've talked to Dave and I do not think the PM module is as flexible as he wishes it was.