There's no filtering. The only filter is the friends/foe list and that only filters posts and doesn't work for PM's.
I'll take a wild guess their inbox is full, they can either:
- Manually delete some old messages from the inbox.
- Move some to their "saved box"
If in the event the "Saved box" is full or you want different ones you can create up to 3 custom folders. between the inbox, saved box and custom folders you can store up to 1000 messages.
By default when the inbox is full the action is to hold messages until there is room. You can set custom options for this too:http://nepacrossroads.com/ucp.php?i=pm&mode=options
At the bottom you'll find options for when the inbox becomes full, you can either have old messages deleted or moved to another folder.
Of course if it was you that didn't receive the PM you'd have to adjust these settings.