Simple and short answer: Yes, a PM feature would be cool to have.

More complex consideration: If you back out to take the 50,000-foot perspective, what is Steemit's ultimate ambition/purpose... and I mean 3, 5, 10 years down the road?

IF this wants to become an uncensored, peer curated social network... that's going to be a harder sell to those outside what one might call a dedicated cryptocurrency/anarchist core... someone who's just a solid and worthy content provider who blogs and has a following is going to want an interface where everything works in one spot, not as a result of having to use 37 add-on apps. That's just time consuming, annoying and too much learning curve to be viable on a large scale. These people will (mostly) want "open the window, type, publish, promote to social media, be done."

Again, just my opinion, but a large part of the reason Crackbook rules the world is that "everything is there;" there is no need to go anywhere else for groups, photos, PMs, hobbies, videos, business pages, live chat and so forth... and I'm not dismissing the value of decentralization here... more asking the question of what does Steemit want to BE? And how is that served?