Inbox for personal messaging?

Would this be possible? And if so does anybody else want this?

It's just sad when someone comments in a thread and you notice something that interests you to discuss about with that person yet is not relevant for the thread.

So what do you do?

Either you move on, not discussing anything, or you derail the thread with an off topic discussion, much to the chagrin of the OP. Opening a new thread is not always desired or effective.

I guess technically this feature wouldn't be much different than opening a thread, only visible to the two relevant people, whenever someone sends a personal message.

This feature would be optional I guess, so that people who want to avoid spam or harassment can do so.