If you send and receive 100+ messages a day you will know where I am coming from on this one.
While the "select all" is good for deleting all the pms on one page... if your messages are spanned over 17 pages, its a pain.
How about a "Remove All Messages".... one for your inbox, one for your out.
I don't have gforum, but I use it here, and this would be a nice feature.
EDIT: A little more advanced, but also good, would be an autopurge setting... where you could have the messages drop out after so many messages or days. You could tag a message as important so it would not be removed automatically also.