Actually, it seems to me that he explained things pretty well. From what I understand, the PM's are stored in one place(table). It basically stores the sender, the reciever, and the message (other things, too, but that's the important stuff). If one person were to delete a PM, it would effectively delete the PM for the other person, too, since there isn't a seperate PM bucket for the two users. The only way to change this would be, probably, to:
a.) make it store two PM's for each one sent (one copy for the sender, one for the recipient)
b.) not really delete the PMs but give them a deleted flag for the recipient and the sender (basically two more columns in the PM table). This may be a viable option for clearing clutter from people's message history, but it won't save DB space. Of course, saving DB space isn't really a high priority. Disk space is cheap, and honestly the forums don't use that much of it at all.