I've installed a messages plug-in which appears at the top in between 'Your network' and 'Your resources'. You can compose messages & send them to anyone who is a friend and they'll see that you've sent them a message - that's the good news.
Here's the sad part - they can't read the content! I've sent a help message to the Elgg forum but as it's not always fast to respond it may take a little time. So please bear with me - this is a test site.
John