I'm just learning along with everyone. Tinytn, it's very much like the old PMs. If you send someone a conversation, they reply to you just like in a thread here. Neither of you have to start another conversation, just continue the same one by adding replies. You can delete any conversation for good if you click on Leave and choose to ignore any further messages, that deletes it permantly.
I haven't had one with more than myself and another person, I don't know if I'd ever need or want to do that. To me a private message or conversation means just between two people. Or else I imagine it would be like a chat room, which I've never been on.