The opposite side of that coin is that someone being harassed or [insert any other reportable offense] would no longer have the ability to report that content. Leaving a PM will delete it from your inbox, if someone had the power to just remove someone from the conversation and the content removed without their permission would be problematic. This is likely a design of the forum software, Xenforo, and not an oversight on our part.
In your scenario, blocking the person and reporting would be the preferred and best way to handle it.