alba - I tend to err on the side of not correcting people (unless their posts are full of errors and they're lecturing others in a snide way, or unless it's really relevant, such as when someone asks for help writing a cover letter).
But I think often people won't be upset by it. MN is unusual in my experience, in that we don't correct each other's SPAG very much. I blog (for my sins), and on there, I do occasionally get very kind emails from people who want to correct me but don't want to do it 'in public' on the comments.
I guess PM could be used the same way?
But it is a bit of a judgment call.
For me personally, TBH, I wouldn't mind someone correcting me if it wasn't maliciously meant, but I'd also not particularly find it 'useful', because most (virtually all?) of my errors are ones where I know what's right but haven't managed to get it down on paper.
Not very helpful really, sorry!