A filter of any kind would be there for the protection of the players and to improve their experience in the game. Publicly this makes more sense to have a swear filter then for private messages in order to establish a standard of what's appropriate.
While chances are one could be applied to PMs filters are going to completely ignore context. Players that know each other in real life or over a long period of time are going to be more relaxed with each other. Things said to complete strangers are going to be interpreted differently. So far the only ones I've seen send inappropriate PMs to me are those retaliating to plundering - and generally they get rather creative in their vocabulary, nothing your ordinary filter would be able to catch.
For editing messages there's always EBWOP (Edit By Way Of Post). Just put your correction into a new post underneath with a little asterisk at the front