This is something that the team are working on improving so, for the moment private messages work just like regular threads with the exception of them being a private conversation between the recipients.
In Lithium, a delete would also have been a soft delete but the interface wouldn't show it that way and since the messages are threaded here, you should see less of them in your inbox meaning you won't have to delete them as much.
Pleas bear with us on this one whilst the team work on a fix for it.
Have a lovely day!
Henna =] x