Yes, people do find the terminology odd at first. I'm sure there is a good reason for xenForo to do this. Maybe it just draws attention to the fact that it is very different to what people may have been used to in vBulletin.
The oddest thing I find is "leave" as opposed to "delete" but in fact it makes sense because you don't delete the Conversation, only your side of it. And you have the option to come back if there are more responses. So in the end it all makes sense.
The reason is probably because PM in most forum softwares at the time referred to a direct message to a person. You can send it to multiple people but they were all different 'threads'.
In XenForo, you can add people to a conversation and responses are kept up to date with all members. It's more of a conversation system than an email-like messaging system. The naming is probably to emphasise a difference and obvious marketing purposes.
But to answer your question, just use phrases to change it if you must. You can also use route filters to change the route.