First thanks for a great plugin.
I'm road testing several PM plugins at the moment and yours is quite nice.
Some things to consider for future versions.
Delete button - currently unable to delete messages
Theme template hook - currently only a [shortcode] version
Nonce - would be good to add for extra security but be sure to read up on the wp_nonce_ays() "are you sure" bizarre errors that sometimes arrise
User_level/user_can - subscribers can only PM admin - admin can PM anyone - for support use