I don't know what you are talking about in this case, Jaxjacky, but I am aware that anonymity can bring out the worst in people, and know (from personal experience) of just how nasty people can be online. Something very unpleasant happened to me a while ago (not on GN) and it's not something you forget. I am still quite wary as a result, and notice when people ask for things to be deleted, when they say they never report but then threaten to do it, when they disappear to get rid of an unpleasant history then return and behave exactly as before but with a clean slate - for me that sort of thing is a red flag not to trust them.
I don't think that deleting PMs will mean that GN can't read them though - there will be regular backups taken as a matter of course. All the same, I would always advise people to keep copies of dodgy PMs, just in case.