I don’t use imgur but I use the hosting link exactly as it is (right click + copy link location with Firefox), sandwiched between [i.m.g.] and [/.i.m.g.], minus the periods.
After looking through Imgur’s links, that appears to be the BBCoding link. I tried it, and it worked. It’s rather confusing to not be able to see if the picture is actually there until the message and picture are sent.
And yeah…I forgot to mention that the pictures don’t show up unless you refresh the page. When I was first experimenting with it trying to get it to work, the sent PM only showed the code/link so I thought it had failed…man, was it a hassle! After I refreshed the page however they popped up like daisies.