I cannot get the PM system to work at all either.
I have tried rwo fresh installs of WP 3.0; installed the BP 1.2.5.2 plugin; used the default BP theme; changed the permalink setting to something other than default.
I can fill in the form to send a PM but nothing gets sent; nothing gets received; there are no messages in the database tables.
Other functions like Friends and Groups seem to work but I need PM.
I don’t get any error messages on screen and there are no error messages in my server’s log files.
There must be something missing in the set up instructions if a clean install doesn’t work. I’m not the only one.