What does it mean when a user “removes themselves from a conversation”? I have noticed several older PM that I noticed it says that. Other PM messages don’t. What does that mean and why does the system or the user do that? Should I do it for myself?

They've deleted the PM conversation. One reason to do it is there's a limit on the number of PM conversations a member can have. If someone is at the limit, nobody can send a new PM until they delete some. That's why you'll occasionally see a post asking someone to clean out their inbox.

OH. that makes sense. Thanks for the info! I’ll clean mine up if non essential messages.