I discovered this some time ago. I do not use free picture hosting and am not on any social media. I use paid services for both Emails and picture/video hosting. But, the only vid I have uploaded was not shot by me. A friend shot a vid. of some of my pleco fry many years ago and I have a copy of it.
So, when I want to put a pic into a pm I have to upload it to my host site first. I would assume that because a PM is only between a limited number of individuals as opposed to all visitors to a site who can view forum posts, that sites do not want to pay for as much storage space for PMs as for open forum posts.
I see this same division on the other fish sites where I do PMs as well as posting in threads. I would further guess that the Bots constantly slurping things from sites cannot do so with PMs. So sites get no general benefit from having to host pics as easily in PMs as we can in posts.
edit:
The activation post was made before my post. I just checked and the ability to included pics and media in PMs is now offered. But, as far as I know, admins and high level personal can view PMs if needed. This has been true for a long time. If it were not, a lot of illegal transactions would be a lot easier to pull off.
I have known for decades that anything one puts on the internet lives forever and can be viewed by people with the requisite digital skills. I just assume nothing online is ever truly private.