If using the full page forum style then see ActionTec's excellent illustration above. If using the split screen, then it doesn't have a menu option to reply by PM. Click on the account name to get the person's profile then send PM from there. Good point, though, there should be an option to reply by PM right on the message's menu. I'll add it when I get the chance.
This is CABL.com posting #240188. Tiny Link: cabl.co/mbaEa