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I just did a test by creating a test user and sending a PM to my admin username. I logged out and then logged in as admin and replied to the test PM. I then tried to delete it and without luck - I couldn't delete this PM.
I then logged out of admin user and back in as test user, went to my inbox to find my test PM reply and deleted it without problems. The PM is no longer there.
So, in short, registered users can delete PM's but I can't as webmaster.
Very strange,
Marty.