I thought about this question overnight and I'll say this if someone sends you a message and you can take a few seconds out of your day to give the recipient a quick reply to the very least by saying "don't feel comfortable", or "I do not always check for PM's", ect, then the sending can make a choice to end it their or still send you PM's or you can also some up with an alternate method of communicating.
I have a few times did not want to PM, one the site was a pain to login to, but I instead asked them to send me an e-mail or text me.
Now if you're talking about private messages on Facebook I don't necessarily blame the recipient I put the blame on Facebook because if you aren't friends with that person your message automatically goes into a special folder and most people aren't made aware of it.
If you do not want PM's than you should disable it or say something along thses lines "Please do not PM me" witch I have seen on here and other places.
The only times I think it would be not necessary and it wouldn't be rude to reply if it's clearly spam.