Yes there is a limit.. I think it's like 50. If you go to your inbox and scroll down below all the messages. At the bottom of the page there will be a multi colored bar. It will say something like the following
Inbox contains 27 messages. You have 46 messages stored, of a total 50 allowed. (Empty Folder)
This means I have 27 in my inbox and a total of 46. (meaning I have 19 in my sent) And i can only have 50 total.
Instead of deleting them you can download them also. You can download them to XML, Text, and CSV.
You can also do Message tracking.
When you go to compose a message under the message text box where you type, there are some options. Here you can deselect the option to keep a copy in your sent items... But you can also click the one that says "Request read receipt". Helpful if you want to be notified that the recipient received and read the PM.
If your PM box is full and someone tries to send you a message. The site will send you an email saying "Boogerhook tried to send you a PM but your PM box is full"
This way you know if you missed one and who sent it... You can come clean out the messages and send boogerhook a PM saying.. "Sorry bud i missed your PM. I cleaned out my inbox. What's Up."