If you believe this is a threat to the community, and others might fall victim to the malicious software its probably a good idea to post about it publicly too. Whether you want to disclose the personal message is entirely up to you though.
Agreed, it's good to report the misuse of the private messaging feature of the forum but it will be best to let the other members to know just to spread the awareness that some individuals are spreading shit through messages. I have a couple of pms as well similar to this one and I quickly have ignored all of them, but with what you have said I think I'll start reporting the next scammy pms here in the reputation section or in the scam accusation just to spread awareness.