Is the user member of a group that is allowed to use chat and direct messages? I’d check the chat allowed groups and direct message enabled groups site settings.
Seems the discription of direct message enabled groups is a little misleading
Allow users within these groups to create user-to-user Personal Chats. Note: staff can always create Personal Chats, and users will be able to reply to Personal Chats initiated by users who have permission to create them.
I’m not able to start a DM with a user who is not allowed to use chat; they can only reply to chats that were created when they were allowed to use chat.