This site uses the XenForo platform. Private messages are called Conversations. Correct me if I'm wrong - I believe you click on a member's profile and start a conversation by writing a Profile post.
I've only got "follow" and "ignore" which would explain why I've never figured it out. I don't see any settings in my account that would change that either.
I know this is a minor thing, but I hope it gets addressed. There have been times I wanted to clarify something through a private message without cluttering up the forum with a new thread. It would be a useful feature if it worked.