This has been suggetested quite allot and the reason why it has not been implemented is that it would mean that the message would need to be stored in the db for each user, if you have 1000 users, thats 1000 PM's to store which in turn would mean your database would become massive and so your whole forum would slow down as a result.
If you need to post a messaeg to all users, then post a normal message but select it to be an Announcement to all forums, it will then display at the top of all your forums for all members to see.