iuliand: You add them by saying "hey, I added you in my conversations (buddy) list" :)
cogadh: No, I mean how you have to find a post by the person on the forums, then click the PM button in that post to add them. It would be much easier to just have a user list, instead of having to hunt down some random post. It's fine if you are taking a conversation from a particular thread into "privacy mode", but what if you just want to contact someone that you aren't currently conversing with in a thread?
Yes, would have been nice to have a field to fill in with the other user's nick, or maybe the possibility to choose from a list. Anyway it's not a big issue. If you keep all your former conversations it is very unlikely you will need to contact some other user without first seeing his posts in the forums.
I think they wanted to avoid creating a definitive user's list available for the public. This way they avoid spamming because there is no list.
As a matter of fact as I think more about how this PM system is implemented I'm starting to think it is pure genius... it avoids spamming, ensures privacy, does not reveal more that is really needed...