They aren't PMs any more, they are "Conversations". Envelope, top right of the Menu Bar > Start a New Conversation. You can also start one by clicking on someone's profile pick in posts.
Ba jesus 'conversations ' is it now !!! dont want a conversation just wanna pm someone .......yadder yadder Are you trying to pm me to buy Eva? errr not following this .........
You could have sent that by PM, sorry conversation, to help the OP understand in the receipt of PMs as well.....