UddelIM is the best Private Messaging system in Joomla hands down. But I admit that it seems to use a older version of messaging where when you reply it has the old message below which if I remember right that's called threaded message. But now days it seems both more efficient and easier to read if it was styled more like facebook's private message system.
When you receive a message and start your reply, the read message is above, kinda like a conversation in real life (display set up). Plus it takes up more space if each time you reply it saves an extra copy of the message. I attached a screen shot of this:
Or perhaps this set up is already possible?