Also, I think there should be an option to delete a private message when you're on the screen to read it and not have to go back out to the private message list, check the delete box and then submit. It just seems like an excessive number of steps.
This is already there. At the bottom of the PM is a button that says "Remove myself from this topic".
Last, why "My Space". Surely there's a more descriptive term that can be used (such as "Personal" or something). Makes it sound like some personal web site.
This is going to be renamed, various ideas have been posted so far.