Don't open them. Just delete them as I have been doing. It's always pretty obvious who it is, anyway.
Not all forum features work on SP, which is why some attempts to control trolls in the past didn't work.
My best guess is that it has something to do with the "two SPs"-- the forum accounts and the content side. PM is sent to and through the latter.
I can give you more boring details in PM but don't want to give any more tips here to certain mentally deranged people.