The limit on PM's is a total for all of them, no matter where they're stored. I'm looking into how to change this limit, but I haven't found anything yet... for now deleting ones you dont want to save is the only option.
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Edit: Blah, took another look and found the setting. Upped the limit to 100 for now. I'd like to set it to unlimited, but we're starting to get strapped for space on the server, so if you don't need to save all your personal messages (this goes for everyone), please clear them off. Thanks all...