You have to remember that this project is only about 6 months old. I think a lot of features are still being developed. From everything I've read, the developers are just as concerned about the currency as they are about the blogging aspect of the site, so it will take some time for them to add features that we are used to seeing on other social media sites :)
https://steemit.com/design/@blueorgy/steemit-private-messages-ui-design-concept-desktop