Hi Ant,
Hope your very well & happy new year. I'm sorry for my delayed response. This is a good question.
I'm afraid this was not included in our 2010 update.
The good news is that we have since improved PMs in our 2012 update and now show the senders name in your list of messages as well as the original message you received or have responded to when viewing a individual PM.
This makes it much easier now to understand the context of private messages as you can see the original private message you responded to when browsing your PM history.