Here's a work around that will work and thought I'd share it with you in hopes it will alleviate some of those decision headaches when it comes to private messages!...
The first thing I did is go to my desktop and created a folder. I named it <Warrior Forum Messages> See below:
I then went into that folder and created 2 more folders. One is for the Inbox messages and the other for the Sent messages. I named them <WF-Inbox Messages> and <WF-Sent Messages> See below:
So now let's say you're running out of room, close to 10, and now what do you do? On the upper left side of your screen you will see in the red colored area "User CP". If you click that, a dropdown menu will show. Click "Private Messages". See below:
Now you will be in your Private Message area of your control panel. If you look to the bottom right, you will see a box that is pre-filled to say "Move to folder...". If you click the dropdown arrow, you will see a list of options. See below:
From there I decide what Inbox message(s) or Sent Message(s) I want to download to those folders I showed above. I just "Download as TEXT". When you do that, you will see an option to what folders to download to.
So now I can keep more of the messages I want, only that there in folders on my desktop now!
I hope you find that useful.