With plugin version 2.1.4, I had the same error as was described in this thread: http://wordpress.org/support/topic/plugin-private-messages-for-wordpress-undefined-function-redirect_to_login_url?replies=2
For unregistered users it throws a fatal error,
Fatal error: Call to undefined function redirect_to_login_url() in /wp-content/themes/twentyeleven/pm4wp-template.php on line 16.
Unfortunately this problem is still not fixed, though it's a minor one, the page template is intended to be modified anyway. Though it would be neat if the page template worked without errors, out of the box.