There are several threads on this already.
It’s a UI compromise Frank decided on. The vB template used by the private message page is the same as the one used for thread pages (i.e., this one), meaning that you either have “Reply” (and only “Reply”) in both places, or you have “Quote” (and only “Quote”) in both places. Since these thread pages are used so much more frequently than the PM page, it was decided to opt for clarity here rather than there.
It’s not ideal, but we’re stuck with it until someone manages to find some kind of hack to make it work otherwise (or vB is updated to use two different templates).