I've gotten a fair number of requests to undo private messages over the last month or two. The Red Devil might have a workaround, but the general moderator team cannot remove a private message. I cannot even remove my own private messages. What I can do is edit private messages. Non-moderators can freely edit their own private messages without moderator involvement. Scolenex confirms that a lengthy political treaty can be turned into "I like bamboo." Bottom line is, do not send a private message that you are unsure about.