I have the option and the system built into my IPB and I believe it's the same on DPWS. I never read members PMs can't remember the last time that I did read it and the truth I only ready it when it's requested by the user or something isn't right regards the title off pointing. Like I don't allow advertisements and if members PMs other members saying "Hay join my site" then that person will get an warning and the PMs be removed and he won't have the option to make anymore PMs.
I always tend to have my members not to know but like I said I never use the system
It really depends on whether or not the forum is hosted by a third party, or whether or not you are hosting the software yourself, somewhere. Last time I checked, most people who do not know the in and outs of databases, won't know how to read PMs through the database, let alone know how to access the PMs in the database. Also, not many forum software's have appropriate PM reading addons/plugins to give easier access to the PM database.
Even though it would be useful to do (like verifying what someone said, when it comes to potentially needing to give appropriate moderation to different members who are behaving badly), I personally never liked reading other peoples PMs.
I didn't know that the private messages of members are accessible by the admin. But I guess that's a privilege they have in order to protect their forum. If there is a conspiracy, at least the admin has a way of knowing it (provided he had a hint of what's happening in his forum). But in reading the PMs just for monitoring, I think that is a waste of precious time. It's like eavesdropping.