You can see all the Private Messages you have received or sent in your Private Message mailbox.
Click on your Avatar/Name icon at the top of the screen.
From the drop-down, click on the "Manage" button.
Click on the "Private Messages" button.
The Private Messages mailbox shows you PMs by Subject title, by Member sent to, by Last PM, and a PM Count.
Click on the View icon to see all PMs sent and received for that Subject/Member.