That's what I get for only searching "PM" and not trying "Private Message"
This is how I am currently doing it but the reason there is a mobile theme is because its fairly difficult to navigate the site on a mobile phone.
I also use the mobile theme to try and fly under my companies internet usage radar by not loading themed web pages over and over. Also, the plain text looks more like work from a distance too.
So in both instances it is a pain to have to switch theme and reply. A reply feature would be welcome.