I have one enabled on my board. You might say it's an invasion of privacy, but it's really not. Users are notified that administrators can view PMs, so they know not to send confidential info in PMs.
I think it's useful - particularly in instances where there's a "she-said, he-said" scenario and handling issues between members. That's a rare occurrence though. I've found it particularly useful though when I can review conversations between staff members as answers to my questions are occasionally answered just by viewing these. There is full-disclosure that we have PM logs so I agree with Reverse Flash, it's not an invasion of privacy. If you do not wish to have others read your PMs you should have an exclusive chat via skype or email.
I have had PM's logged however now that we have IP.Board, we sadly do not have the ability to log PM's. Personally, I think it's fair to log them. People can always (and easily) fabricate messages and screen shot them, and suddenly you find yourself in the center of a circus ring of "he said/she said."
And it's not an invasion of privacy as long as you tell them. It's YOUR forum, you created it and it belongs to you and you are responsible for the content that is posted/sent. It's only a precaution for what could eventually happen. That, and theres emails and skype if they really think they need to tell someone so secretive.
I don't. They are private for a reason, if they get reported I will become aware of the content in the PM which is enough for me to be able to resolve the issue without spying on everything.