Is there a way to pin certain Private Messages in the game or a setting to organize it by alphabetical instead of by last message?

I'm asking this because I got a bunch of private messages and I may get lost.

If you mean private messages in the same thread, no, as far as I've seen, they are only sorted first to last chronologically.

However, if you're trying to sort through threads, you CAN assign each one a different group letter, and sort out any particular thread. There is a filter for this purpose at the top of the thread list in a game, on the header bar.

I assign private threads to each player in a game to make finding messages from them easier than using the PM menu. I use the letter group designators for this, and leave the number designators for more public threads/character groupings.

Ok, I think I figure that out.  Thank you for the advice!

Surely

I assign each player a private thread for charges discussion, then each character a private thread for ocls discussion and some minor ic interaction.