Unforuntatelly there is no report mechanisim available through the default ACP options. Really all that can be done is for the member to either copy and paste the message or take a screenshot of the message and pm it to moderator or admin.
As brandon said above, report button feature for private message is not yet available (hopefully we'll get this one soon) For additional information, the concerned topic is already suggested here: https://help.forumotion.com/t22266-pm-report-abuse-button