I like the idea.
Would be much easier to priority messages you have recieved if you have got several categories.
I recieve a lot PMs when I help around in the S/A and a lot of PMs from my friends "friend messages".
Would be much easier to just check the prio 1 category and reply them first and then chat with your friends, could save a lot of time also.
Imo you should be able to create new categories, to prevent abusing and creation of your own categories, you should be able to choose from existing categories.
For instance: "Friendly Message", "S/A Related", "Questions", "General" or so.
