The pm menu is like a mailbox

And it looks like this:

1. You have an inbox and an outbox.

The inbox contains your incoming mail or messages (others messaging you)

The outbox contains your outgoing mail (your messages to others)

Clicking one of them displays all your messages

2. You can flag all, unread or read

All, shows you all messages

Read, all messages that you have opened

Unread, all messages that you have not clicked on yet.

Yes, it works like a mailbox.