I've noticed a potential feature that could be added to the next XenForo release. This addon would be great for people like myself who receive tons of personal messages and keep a lot of them for future references and whatnot (applications, reports, feedback, etc). Like most common web-based email services, there are sub-folders in which you can use for organizing your emails into specific categories. I indeed use this for my email services as well. So to sum things up, I think it'd be nice for XenForo to implement this sort of thing for your inbox which of course would become useful to many people.
I apologize if there's something already like this.. I'm not aware of it if there is.
Thank you for considering!