While there is no mod to do this, you can pull the information directly from your database:
USE %DATABASE%
SELECT *
FROM [color=red]%PREFIX%_[/color]personal_messages
WHERE fromName = '[color=red]%USERNAME%[/color]'
Change %DATABASE% to the database your SMF install is using (this is not always necessary- if it throws an error, take this entire line out).
Change %PREFIX%_ to the prefix SMF is using in your database.
Change %USERNAME% to the name of the user you are interested in.
This will pull up all of the private messages from that user and allow you to have a look at what is going on.