Well, whilst these things are nice, and I agree on your points, in terms of practicality, these things take a bit of effort unfortunately.
PMs are meant to be more of an email concept rather than an IM concept, though it may be possible to make PMs a little more accessible (quick PM link).  The shoutbox accepts the "/pm username" command, so just copy+paste that when you need to send a PM to someone.  Awkward, but I guess that's one solution.

Thing is, I don't want to "reinvent the wheel", especially implement something crappy when most people have something better.  Fact is, most people have some sort of IM client, like MSN installed.  Now I know you want to keep low with the socialising aspect, but you can always set up a separate email to use with MSN and so forth, so you can easily isolate yourself from others this way.  I agree it's a bit more of a hassle for you (and less for me!) but I don't think it's too big of an ask and an IM client has many benefits over something I could do on a website.

Hope that helps.