I have noticed that the author IP address is not appearing in the privmsgs_to table.

I have found that by changing

'from_user_ip'            => $user->data['user_ip'], 

to

'from_user_ip'            => $user->ip, 

in includes/ucp/ucp_pm_compose.php (line 608) then the IP address is written to the database.

(This is the same code that is used in includes/functions_posting.php - line 1588)