I am not so worried about the privacy of a PM.. If your running a business that is supported by the forums you need to be able to forward messages, questions and sales inquiries to other team members with all of the orginal message and user information.
I can see 2 options for this ability. One as Gizmo describes and a full forward feature that allows you to type a message ahead of the PM like when you forward any email. If you limited it to just Administrators and certain Moderators then there are no issues around security etc. You might have the option to turn this feature off all together.
It honestly would take the private message system to where it needs to be other then a private message board. You would gain so much in the way of corporate users without a doubt this way.
Adding a user to a PM chain is also another good idea so it turns into a group discussion instead of being limited.
