PM is very much a forum thing. Every forum I have ever used, in a plethora of different sectors has had PM's . DM is just a twitter and instagram thing. In reality they are both the same thing.
As an aside I helped a good friend set up one of UK's biggest body building forums, probably around 8 years ago. He made a good income from it in terms of advertising. Now the traffic and therefore advertising revenue has reduced significantly. Young people dont use forums anywhere near as much. Instagram, in the bodybuilding world at least is very much the way to interact and reach your target audience now so it doesn't surprise me that younger people have not heard of a PM (and presumably frequented a forum).