Typo in privatemsg_filter_form_submit() prevents saving user-tag association.

In step 3 below, privatemsg_filter_add_tags($form_state['values']['thread_id'], $tag_ids)the last parameter $tags_ids should be $tag_id

function privatemsg_filter_form_submit($form, &$form_state) {
  if (isset($form_state['values']['submit'])) {
    $tags = explode(',', $form_state['values']['tags']);

    // Step 1 - Delete all tag mapping. I cannot think of a better way to remove tags that are no longer in the textfield, so ideas welcome.
    privatemsg_filter_remove_tags($form_state['values']['thread_id']);

    // Step 2 - Get the id for each of the tags.
    $tag_ids = privatemsg_filter_create_tags($tags);

    // Step 3 - Save all the tagging data.
    foreach ($tag_ids as $tag_id) {
      privatemsg_filter_add_tags($form_state['values']['thread_id'], $tag_ids); // <================== $tag_ids should be $tag_id.
    }
    drupal_set_message(t('Tagging information has been saved.'));
  }
}

I don't have time right now to create a patch for this, but I might get to it soon. It is a trivial change though.