This does seem very strange to me, and I find it an issue, too.
It wouldn't be an acceptable solution to just delete 10+ years of PMs, where your users may have had transactions going, given details that they hadn't copied down etc., and just say, "Sorry - they're gone!" - that's understandable. Some users will want to keep what were PMs, others may want to bulk delete them. So we can't just decide to delete every conversation for all users.
Xenforo is to me the Gmail of PMs - the conversation system groups messages under one conversation, much as Gmail does. Before that (e.g. Hotmail), you'd get:
Re: Re: Hi
Re: Re: Re: Hi
Sadly, when you import vBulletin PMs, you get exactly that - if you had a conversation with a user via PM that took 30 messages, it's probably spread over several pages.
So... whereas you can now "leave" a 30 post conversation if it's a new one, the imported ones require you to tick 20 boxes on one page, bulk leave them... then tick another 10 boxes, bulk leave those. It's far from ideal. With respect to the developers (you guys have done a marvellous job), it seems rather crazy that there's not even so much as a "tick all" option in conversations.
The reason why it's so overwhelming for users is that they used to have an "inbox" and a "sent box". Now you see all imported vBulletin PMs as separate conversations in one place - what might have been 100 messages in inbox and 100 in sent box is now 200 separate conversations.
Yes, the new conversations system is great - better than vBulletin's PMs, I'd say - it just needs a way to bulk select conversations.