Now you can post to any user's board. This is considered a "direct message". There is a checkbox to make it private, which makes it a "private message". Only the sender and receiver will be able to see the private message. Anyone can see public direct messages. There is a new link at the top of the page for you to easily see all messages sent to you.
Also, you can now set the privacy for an entire message board. Click on Manage link at the top of one of your boards to see the settings:
The Messages page shows messages both from you and to you.
You can only create a dm on the Messages page, or when viewing a user's board.
Private messages will have a little icon next to them so you know they are private.