Take it up with the Xenforo software developers, if you don't like the nomenclature. It's part of the Xenforo software. And it's been "conversations" since the software change last March.
There are advantages for users to setting up "conversations" instead of just having "PMs".
1) you can have many posts in a conversation and it still only counts as one item. It effectively increases the size of your inbox.
2) both sides of the conversation remain in one spot. You don't have to quote the other person in order for him to see what comments you are responding to, like we did under the BBS software. Under the old BBS software, if you had to nest more than about two quotes, the oldest quote was a skinny little thing that was hard to read.
Personally, I find conversations much easier to deal with than the BBS PM system.