Well truth be known, you can just view the PMs in the database, but this just makes it much easier to do. Also some people say you should/need to include this fact in the signup so that they can not say they have not been warned.
Though personally people should never ever think that once they type something out on the net in any way should be thought of as "private" in any way. I would suggest changing the name from "Private Message" to "Message" or something else that does not lead people to think "Private"
I have had need of this before on my forum, a user was sending requests for warez and other less than desirable things. I was able to see messages and was able to take actions needed.