This is to clear up misperceptions.
1) YES, the rules apply in PMs. The rules are lessened somewhat for foul language, and non-existent for OOC problems, but otherwise you should conduct yourself nicely.
2) NO, the admins do not sit around reading your PMs. In fact, reading the PMs is a big pain in the behind, and really not worth the small entertainment value it might provide us. The reasons I go into PMs usually is to track down messages when somebody reports that somebody else is harrassing them or something. While I am in there, I then often see other things which tend to get people in trouble.
3) NO, deleting your messages does absolutely no good (for you, anyways). After somebody gets in trouble for cyber-boinking or something else, they usually become INSANE about immediately deleting their messages. This makes me laugh and laugh and laugh and laugh because THIS DOESN'T DO ANYTHING AS FAR AS WHAT THE ADMINS CAN SEE AND CAN'T SEE! SO, if you enjoy keeping your messages around where you can see them, go ahead and keep doing so, as "deleting" them doesn't do anything to protect you if you are behaving inappropriately, despite what most people think. All it does is make it so you can't see them... but I still can. =)
So, the best thing for you to do is to play the game, send PMs, and keep PMs that you want to keep, all while following the rules. Okay?