As a fairly causal user I don't get many pm's but a few drop in now and then. There aren't enough for me to want to worry about storing them in various folders though so I just delete as I go. This can be a bit of a pain if I'm also answering them because they're now in two folders - so to deal with that one message I have to:-
1. Respond.
2. Select my inbox,
3. Select the checkbox next to the messsage
4. Change the option in the drop down because it's defaulted to 'Move to folder'
5. Click Go
6. Select my sent items
7. Select the checkbox next to the message
8. Click Go (this time the drop down's defaulted to delete
9. Make an appointment with my docter to get my RSI treated

Maybe it's just me being unbelievably lazy (always a possibility) but wouldn't a 'nuke all my messages' button be handy. I'm sure there's some other casual users who don't really 'manage' their pms who might find it handy.