Okay, when I get a new PM, I look at my list and next to the new pms there is "Deny reciept"

Why is this?

When sending a pm you can check wether you want to see when the recipient has read the pm. By clicking that link you deny that function to the sender, so he can't see wether you read the message.

I'm just curious : How is this useful?

Well, what if you were deliberately trying to ignore someone, but still wanted to see their message? If they knew that you read the message, they would spam you about it.

I think it is more of just a privacy thing. If people are able to request a read receipt, you should be able to deny that request.