Yes, they can be archived. There is no way that I see to do a mass archive. Each conversation must be done separately.
The catch is that the archived conversation is sent to the email address associate with your Bleeping Computer account. If you have so many pm messages that your quota has been reached or is about to be reached you will spend a lot of time archiving. It also means that you will get a lot of emails. IF you do archive your pms, create a folder in your email for them.
To archive, look under the last post in a conversation for Archive Conversation and click it. That is all you have to do; the next thing you will see is a notice that it has been sent to your email address.
Edited by Queen-Evie, 26 April 2016 - 11:49 PM.