Also, (not sure if this works in UBBT -either way- it definitely doesn't work in URLs...), but I definitely agree with the way in which UBBC also used the censor feature in Private Messages.
The main reason is that people usually spam others using PMs and include affiliate links in the process. Classic has the great approach of using the same filter in PMs as well as regular posts, so spammers can also say goodbye to using PMs to spread their filth.
Would definitely like to see this option implemented, otherwise spammers can do what they want on our boards and there's nothing we can do about it...
Another great feature would be to limit the ability to use the PM feature until a user has A) sent X number of messages -AND/OR- B) been registered for an X amount of time).