Inside private chat, quotes (") get stripped from the message. Also, under certain conditions apostrophes (') get stripped from private chat too. (such as when being used as if it were a quote, or when alone by itself.)

Also, any time " or ' is used at the beginning of a message in a PM, all instances get stripped.

Heh, it's due to how we parse the text. It sees the stuff in single/double quotes as arguments to the msg command.