I have been thinking about this issue a lot recently now that I am working on the messaging system.
I think I would like to change it so you can “archive” any PM you have, once archived it goes into an “archive” section until an new PM arrives as a reply.
Effectively giving you a proper inbox that you can clear. As it stands it is very hard to manage PM workflows.
EDIT inbox/archive and the more fancy inbox/archive for group messages is now implemented.