This could clearly differentiate whether a PM came from the forum, it's staff or theymos.
Just highlighting the message in the dropdown list would do the trick.
The only true protection against such people is to keep your common sense. These kind of trolling/impersonation is so awkward I really don't think anyone with more than 80 IQ will be fooled. And if you got caught it is your own fault.
While I agree that it shouldn't be hard to tell it is an impersonator, I see no problem in Cyrus' suggestion.
It shouldn't be hard to implement, and it offers an additional layer of protection to less attentive people.