There is no global disable option for that feature, so you'll have to do a couple of edits to get it done.

Step one is to uncheck the box that allows message form contacts in your profile. If you've got other bloggers you'll have to tell them to uncheck the box under threat of ... whatever seems threatening to you.

Step two is to edit your skins/_feedback.php file, or maybe your skins/yourskin/_feedback.php file and look for

$Comment->msgform_link( $Blog->get('msgformurl') );

and delete it. In the same file you'll see where "msgform_link" is used in the preview feature. You can delete it from there too if you want. In the same file you'll find

comment_allow_msgform', true, T_('Allow message form')

which you probably want to change from true to false. Visitors leaving comments might check the box, but it won't matter because your skin won't display them anymore.

Step three is to feel lonely and sad because you don't have a nice happy interactive blog. awwwwww :'(