This bug affects users who have PM settings on a more private level, such as "contacts only" or "nobody".
When such a user sends a PM to somebody, this works fine. No problems.
When that somebody attempts to reply to the message, there is an error message:
Permission error:
Please note: This user wishes to receive messages only from selected users.
And thus, you cannot reply to the message.
Expected behaviour
Message replies should override PM settings.
You should be able to reply to a person who has asked for help in a PM.