Yeah, but we already have this with the forums. Should we not have the forums either? There's virtually no difference between the two. Direct messages are not private messages. They're publically shared conversations between two or more users. They're just not made accessible to everyone online by default -- that's the only thing that makes them "private". No private information should ever be entered into these messages -- just as you wouldn't post any private information on the forums.
And if you treat them like that -- with everyone well aware that these are not really private in the full sense -- then what's the high maintenance?
You're not doing anything more than the forums. You're just allowing people to talk to each other directly, as opposed to having to post every conversation between each other for everyone to see out there.