Are you are inadvertently leaving messages on someone's wall /profile page when you thought you were PM-ing them?
It is the most usual reason for PMs not getting through.
Be *very careful*, this page is open to the public, and also to google's bots (and other bots too), the same as the recent activity page.
I have seen eMail addresses, paypal, phone numbers, geographical addresses and more on here, all open to public view.
Message button for PMs is top right of the wall / profile page.
All too easily done, you're wouldn't be the first, certainly won't be the last.
(unless the modmins change the PM button so it is more obvious)
If you think you may have done this go through and check the recipients profile page and delete to remove them. (*hover over your post & use the X icon that appears top right) (edited to improve clarity, thanks to an experiment conducted with surfguy to ensure it works)
If someone has left personal information on your page, please PM them and ask them to edit or remove it for safety.
Hope that helps