I suppose you can't stop suppliers doing that so I understand from a financial point of view if you are looking at lost advertising revenue.
With regards to members posting abuse can this not be dealt with on a personal basis just as it would be if someone posted abuse on the open forum. So if someone recieves an abusive message they can report it.
I think it's very useful to be able to interact with another user on a personal level for a few reasons.
Items for sale/ jobs for tender - to be able to discuss without having to post your number or email on a forum.
Stops the F.A.O dazmond threads, If someone has a some question for amother member does it need a thread?
Exchanging personal details etc, contact info.
Discussions on a sensitive subject, maybe you want to discuss a company etc without plastering there me all over.
General chat with a member, maybe you want a conversation with someone you are friendly with about how business is going etc, again does this need to be done on an open forum?
Personally think it makes the forum much more interactive and would be much better off with the function.
Maybe you could ask forum members what they think? Surely if everyone wants it it would be a good idea re introduce it?