Ok, so, this is the motivation for suggesting this, and I guess I'm presuming a solution while I don't necessarily need to. Here's what's going on:
I have a bunch of alts. So do my friends. I have a lot of PM combinations between the two. When I visit my list of PMs, I have three pages and the first two are ones I have used recently and will re-use. There's a lot!
So, when my friend logs in as Peach, and I'm logged in as Samus, I have to go hunt through that PM list for the specific one between Samus and Peach. When I'm logged in as another character like Satsuki, I have to hunt down that combination in a big long list. It'd be way easier if I could just have a button that showed me the PMs we already have, or just took me to the one I already had open! That way I wouldn't have to hunt down just the right PM, miss it on page one, not find it on page two, go back to page one, find it then, etc. It would make things a lot easier is all.
The way it would probably work best is just what I suggested: let me visit their profile, open the message pane, and see what PMs I already have open with them. (Like Samus/Peach, Satsuki/Peach, etc.) If I don't have one with this character I have active right now, I'll send them a message as this character, or I will switch to one of the characters where I already have a PM going and open that PM.