i think you should be able to do more with pms like add other people to pm conversations or be able to see when someone looks at your pm

Adding onto this, I think it would be cool if you could add attachments to PM's. I always find myself wanting to send replays to people and I have to upload to a second site in order to do so by PM.

They don't have this because it would take up too much data

PMs aren't public chat, there's IRC / Skype / lots of other ways to communicate in groups. You can send the same PM to several users though.
As for the second part of suggestion, you need to check the "Request a read receipt for this message" box in the PM options when you preview it before sending, this feature is supported by vbulletin.