If it's a threat, it should be posted up.
That way, some of the administrators can police the bullies, or in the case of terroristic threats, there is some evidence pertaining to that fact, should something happen.
Although i would suggest a screen shot vs a cut and paste copy.
TOO much can be manipulated with the highlight cut and paste, and the original PM can be deleted before anyone knows what's up.
With a screen shot Ctrl + PrtScn (with a paste into word, or paint, or wherever, it is a better representation) and not as easy to manipulate, therefore, it is more believable.