If you are objecting to something said or posted about you in public, then the reply needs to be public too, not a private message, and definitely not an abusive private message. A post that is nasty enough to trigger abuse is bad enough to be reported and dealt with by an official reprimand from a moderator.
I am of the opinion too that the reprimand should also be a public one, so that the author of the abuse is named and shamed. Deleting it gets rid of it, but it also removes the evidence so that other posters can't see just what was nasty enough to deserve reporting.
Some deletions do seem to be rather frivolous, and not to have deserved reporting, but because they have vanished, the reputation of their authors looks as vindictive/racist/lying/sexist as the really vicious ones. If they were still there, readers could make up their own minds whether they agree with the verdict or not.