The need to login several times probably has more to do with your browser and it's storing of cookies then with the forums themselves. The link for your PM Inbox is ONLY displayed when you are logged in. So I would guess no link to your PM Inbox has more to do with your browser/browser settings then the forums.
I would suggest clearing your browsers cache, check your browsers security/privacy settings, etc. and make sure you are allowing cookies for the site.
As for Chucky's issues, kind of at a loss? Can't find anything in the code that would carry a thread/post details into a PM to allow a reply to be associated with a thread/post. Tried a couple times to reproduce the issue and cant get it to happen. Keep me updated Chucky and let me know if you see it again and PM me with details on the thread/PM that are getting crossed up.
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Charles Gallant