they are in your pm view template file… thats part of the plugin… if you want your own custom pm view template,  you will need to copy it into your sp theme template files folder so it gets used instead of the plugin version…  not sure why you want to remove them, but none the less possible…

they are in the pm header, so file spPMHead.php… its in the private-messaging/template-files folder… copy it to the template files of your sp theme and make the edit…  remove this line

            sp_PmQuickLinksThreads(‘tagClass=spControl spSelect spLeft&show=5’, __(‘New/Recent Messages’, ‘sp-pm’));