PM's work fine. If they're not being sent it's either a problem with the sender or the receiver.
I'm not sure what it could be - but could be:
- not pressing 'send' properly,
- a full inbox,
- people replying to the notification message instead of replying via PM (you'd be surprised how many of these I see)
- etc.
I think something is odd..........my "Inbox" is fine but I had sent messages retained in my "Sent Items" folder and they've just disappeared, and even a PM reply just sent doesn't show up.
I'm (too) well acquainted with vBulletin based forums to make a mistake.