I don't understand how this feature changes anything? If he operates via DM them you and his other victims can pretty easily share the evidence with management today. I don't think this feature is going to a be a magic cure-all where management pro-actively monitors communications for this type of behavior - it will still require individual(s) to escalate a complaint that management can then investigate.

In our unique case, it would have meant we could have exported old DMs from users who have since left the company after a recent merger.

I'm using my example to think forward: an employee leaves due to workplace conflicts, and later (not to intimate this is the path I'm taking, I'm merely walking out the door, as my issue was a mere personality conflict not something that I can seek damages over) pursues civil action, a responsible export and archive policy from HR the way IT departments may sometimes be required to retain email messages for a period of time can be a benefit if the departed employee cites their interactions with an abusive manager for their departure and subsequent litigation.

Other commenters have referenced this as well.