Multiple private messages — called "multi-PMs" for short — are a way to start a private conversation with multiple colleagues rapidly on the fly. The major difference between a multi-PM and a private group is that a private group requires you to create an official group from the left sidebar under the GROUPS header. This involves inviting members and setting a name.
By contrast, a multi-PM works just like a private message. Just click the PEOPLE header and select as many colleagues as you'd like to message. There are no notifications controls in a multi-PM (unlike in a private group) since all messages are considered direct.
Use multi-PMs when:
1. You have a few things to say to multiple people that don't fall under existing group topics.
2. You want to chat informally with multiple people without creating an official group.
3. You want to create an on-the-fly conversation.