How to explain it:
There is more than one person in a pm, if you where to delete a pm completley it would remove it from the server, thus removing it for the other user as well.
When importing, the onlyway to associate pm's to users and properly import was to restore all messages for every user. this is why users recieve pm's they deleted in the past, and why the admin gets a copy of EVERY welcome message sent in the past.