Shutt, he is asking about adding the number to conversations/pm like in this screenshot of a conversation between Pat Holloway and me. I have seen some very long conversations where it is difficult to refer to a previous remark.
I think it would be like "you said in reply 7 that ..." but currently there is no easy way to say that. You could say in the 7th message and let the reader count from the top, but they might lose interest quickly.
We will need to upgrade to the next major version of XenForo sometime this Fall, since this version is no longer being maintained, so I would look for the feature at that time.
Since both thread posts and conversation remarks appear to offer the same functionality, I guess I assumed that the numbering facility was also available in the latter. It seems I was wrong in this assumption, (as a confirmation of the risks in making assumptions generally!).