Right now % isn't handled properly so it breaks the tag/<tagname> urls that's why it is not allowed. It would require some changes in core and the themes to properly handle that symbol.
ohh ok.. I just thought the other way made more sense since user2 sent the message "to" user1. so saving it as "user2:to:user1" instead of "user1:to:user2" was more intuitive. sorry 🙂