Occasionally a PM may be misused to offend or insult the recipient in a manner that the perpetrator knows he could not have got away with in the thread. It's a lazy way of having it back, circumventing the need to couch a post in acceptably civil terms. In those circumstances I think it's fine to refer in the thread to the fact that the offender has been sending you inappropriate private messages. If the eejit persists, in extreme circumstances you might decide to disclose the precise contents of the messages. Everything on the internet is a risk and if you can't accept that don't post on forums. Everything including my using my real name all the time!