On Twitter, brands that follow their followers back can easily communicate through private DM messages. On Facebook, however, most of the conversation between brand and user takes place on the wall, something that not all customers may feel comfortable with.
The other positive aspect of private messages for brand pages is that every comment doesn't get swept into the Facebook news feed for all of a user's friends to see. For brands that are looking to promote positive notes from fans, however, a positive message sent privately doesn't help exposure.
Not all brands have to comply with private messages, however. Page owners will be given the option for private messages.
A visitor doesn't even have to "Like" a brand's page in order to send a private message. Every sent message ends up in the Messages inbox along with notes from Facebook friends. The page receives a notification once the message has been sent.
WeAreSocial.sg reports that this feature is only available in Asia, suggesting that this may be an East-to-West rollout like Facebook Timeline.