While posting PM's is lame, and generally frowned upon, so long as no information that could be considered sensative is posted, it is not against the rules. For example, an admin sending you a PM regarding an action you took upon another user would generally not be allowable because it could compromise that other user.
Admins on the other hand are generally forbiddon from posting any information we recieve in confidence from a user, specifically since it was sent to someone in an administrative position of responsability. If someone were to give me explicit permissions to post a PM for some reason, or if it was a light hearted PM posted in jest (look, user X really did send me a PM of an asciii Moo cow!) etc. then we might post it. Or to refute a user posted PM, we might at that point post the entire conversation chain since the user, by posting that portion of the conversation is obviously OK with that PM becoming public record.
I think i've posted maybe 4 PM's in the almost 10 years I've been here. at least 2 of them were joke PM's that were sent in jest, one was a user requesting I publicly post what they sent me for some reason in a thread, and one was from a goldseller, which was chewing me out for banning their other account. Which was hilarious.
Anyways, thats my overly long winded way of saying yes, that conversation did take place, but is also taken out of context in the middle of the PM conversation that was basically something along the lines of "Prove it or quit making claims" regarding a thread from 2007.
So yeah. that.