@evan @blaine "direct messages" aren't really a feature in AP, at least, not how people think of "direct messaging”
There's no single conversation that contains all the “direct messages” between you and a set of recipients.
They're just individual Activity's, typically Notes, addressed to a limited audience.
For “direct messages” to be an AP feature, you'd want to have some sort of “inbox for a conversation” which would be a collection.