I'd like to see some kind of conformation screen before a PM gets deleted.
My members are always complaining about this and I understand them, since it's quite easy to accidently hit 'delete' when all you really wanted was to 'move'.

If not a PM confimation screen, then I think a Trash Can would be good.
Then you would at least be given a chance to move your PM out of the trash if you accidently deleted it.

Pleeeeease add any of the above. It really is needed...

Perhaps a Javascript confirmation would be good?

Yep, that would be good enough in my opinion. That's what I used when I had a "mod" for this.