Most people are lucky enough never to have had a questionable PM.
Here's the relevant part of the guidance.
PLEASE NOTE : Private messaging is NOT for journalists or market-researchers (or advertisers/company reps) to contact Mumsnetters. If you are a journalist or market-researcher and would like to canvass our members' opinions, please mail email@example.com.
If you get an unsolicited private message from a journalist or market-researcher (or someone trying to spam you with advertising), please feel free to report it to us at firstname.lastname@example.org.'
As far as I recall, using the 'Report Message' link actually sends it through to MNHQ - it's just a quick way of doing it without having to insert the relevant details.