Click on their name, like mine off to the side here. Click "start conversation." Feel free to send me a test one.
Alternatively, open the inbox menu at the top and choose "start conversation" from the bottom of that one. These start typing the name or names you want. Soon you will get a popup with the users name, just click on it and all will be good.
Nope, it's been around since the beginning. Just messages like usual, but only visible to those involved in the conversation.