OK over the last week I've been getting a lot of PM replies. No, not to my own PMs but just random messages people were apparently trying to send through the board. After scratching my head, I figured it out --
Don't reply to the 'You've got a PM' notification - it won't automatically route to who sent you the PM. Instead it's just the "board" automatically letting you know you got one, so replying does no good. Well, up until this afternoon replying sent an e-mail to me instead (woops!).
So what I did is I changed the Board's default e-mail address and set up an auto-reply message. If you accidentally reply to PM notification, you'll just get a mail back letting you know it didn't go to the right place.
What should you do when you get a PM you might ask? Well, obviously log into the board first to read it. If you want to take the conversation off the system and through e-mails instead of 'PM'ing somebody just send it directly to their e-mail address (via the mail icon under their name). Of course that only works if they have their e-mail address public, otherwise you'll have to go through the board or ask them to send you their personal e-mail address.
Hope that helps!