It is a simple error, its not spyware or spam or anything on your end. That stuff would only affect you, not the website. Its a known bug in "vBulletin" (the forum itself)
To fix it, all you have to do is find the message with no text (This was sent by someone whos account is now gone) In the main "Private Messages" screen (You get to it by clicking "Private Messages" at the top right of the page) Go to the empty box in the far left next to the message, select it, so now it has a check mark, and then go to the bottom where it says "Selected Messages" choose "Delete" from the drop down menu and click the Go button. It should delete the message and solve your problem.