Hey man, I was looking at this and realized I can't delete PMs individually either. I can't delete any PMs. phpbb updates aren't as thoroughly tested as they used to be. Oh well.
I don't know if people are running out of PM space, but if so, you might increase the PM limits to 1000 or something per box instead of the base 50 message limit. I don't think it puts much more load on the server.