Bookmarking PMs is allowed. It’s the first exercise in the discobot new user tutorial.
That said, it’s not possible to distinguish between bookmarked topics and messages, so it’s probably not useful for organizing messages.
To be honest, I don’t find bookmarking of topics that useful to me.. I never go back to my bookmarks list. Maybe I could repurpose it as a list of messages I need to keep an eye on. But in any case tagging messages will be much better.