Hello Veyron. 
I searched on a variety of different phrases and could not find an answer. So I'm going to hazard a guess and venture that this might be an unimplemented feature. 
What I found the need to do when using the PM system was when replying I wished to include others in said reply. And bring them into the ongoing PM string. So if "A" PM's "B", can "B" then add "C" to the response to "A"'s PM. For the life of me I can't figure out how to do this. Slap me if I've overlooked something obvious. 

Thanks as always Veyron !