Thread: Unapproved Visitor Messages?

This is new to me. People are sending me PM's but they don't appear in the normal way. When I click on a box to answer it says I must only use that to report a post. When I try to delete the messages I get a message 'Why do you want to remove it?'
When I get a PM, I simply like to answer it how I always have. When the message is a few weeks old I delete it.
In answering the unapproved message, am I now in some type of chat room?
One message was dated some time ago, should I have been looking somewhere else for these messages.
Graham