Unless you are doing the MM, don't PM people. And if are doing the MM, always include your email, whats being traded, and who you are MMing for in the PM.
Its a old TYPE of scam, they just did it a different way, a lot of the time they would just pretend that they were the person being scammed and ask for a pm (if they were recently added to your list and you didn't know them) then they would ask what the pm said (saying that they want to make sure someone else didn't send it or something) then they would tell the person being scammed what it said since it was he who the pm was sent to in the first place.
There are other variations of it but its basically just tricking a MM into pming the victim.
I have had this happen to me a few times before, and I just make sure I provide the chats and everytime I PM someone, I always include my MSN somewhere.