Let's see if this works.
For those who wish to manually save their private messages, try clicking this link:
http://www.ablemuse.com/erato/private.php?folderid=0
With luck, that will take you to a list of received private messages. If you scroll all the way to the bottom, you'll see a link that says
Download all Private Messages as:
XML | CSV | Text
Then choose your poison. XML is webpage readable. CSV opens them in a spreadsheet. Txt is just text.
You'll need to perform a similar action for sent messages...
Just a little personal insurance against data loss...