I think it is important for there to be a UI feature that allows at least an admin or license owner to review all PM's. It simply makes sense even from a legal perspective. You can easily have situations in which a full review may be necessary for legal or safety reasons.
And importantly, it goes both ways. Being able to report specific messages is not enough. The reason for that is because context is sometimes everything, and can make the difference between a phony accusation and a reasonable one, between whether one party or the other has truly been "the bad guy," or both.
I don't mind saying that I was in a conversation with Chris D about this very thing back in October. I had contacted another member to try to help him out, because he was obviously a little bit troubled, more than a little bit really. Others had been trying to help him publicly, and even one of the mods here had chided him slightly. I did the guy quite a few favors in fact, but he only repaid me very badly instead, and that's putting it mildly and succinctly. He wound up reporting me as the bad guy for something in the PM's, however, though I had not reported him, and I do not know exactly what he reported me for, and Chris did not tell me. That is another problem or defect: you are not given any information at all if someone reports you, so as to possibly defend yourself. So Chris D gave me a rule 2 violation, even though if anyone actually saw the entire context of the entire conversation instead of isolated remarks in isolated PM's within the whole coversation, I would contend that most people would agree the other guy had been "the bad guy," and that I had not even truly done at all what I was being given the rule 2 violation for instead. Ironically, however, Chris D told me that I was not being given the rule 2 violation for what the member reported me for, but only for things he saw in my private conversation that he considered to be a rule violation. That is also a "slippery slope" indeed when you're talking about private vs. public and without a full context.
I regarded and still regard that process and methodology to be very flawed, and told Chris so in some very lengthy and well thought out replies if I can say so myself. One of the biggest flaws of all is this all-important issue of context. One of the things Chris told me was that he could only see PM's of mine within the conversation that the other member had reported, not the entire conversation. That is a hugely flawed issue with regard to context, which can, and in this case I would say certainly did, lead to a flawed impression and a flawed outcome.
In this conversation with Chris I had even mentioned that surely there was access to my whole conversation with the other member even at the database level, in response to him saying he could not see all my PM's there, but he did not say anything about that. I'm not without IT experience myself, so it certainly seemed impossible that db-level access could not exist, and now I see that confirmed here. Since ultimately access does exist, I would suggest that it only makes sense to include an easy UI feature in case there are times when someone does need to review PM's. Maybe not for mods, but certainly for admins or license owners.