I feel as though if someone has bothered to send me a private message - that is just like getting a nice note in the snail mail.
The polite thing to do is respond. It sure is easier to reply to a private message, or send an email than snail mail.

Besides, private messages are fun.......a way to get to know people a bit better than just through our posts.

Sometimes, I can't respond immediately, but if that is the case, I usually let them know I will reply later when I have more time.