Best way is to report them which you can do by clicking "Report to Admin" against that PM.
Disagree. It takes very long for them to handle these cases, if ever. Worst case: You report it, wait for feedback, and never do. I mean, if the admin isn't sure then at least he could notify you so that you can try investigating.
Also I think thread should go into Meta as we are asking for mod/admins action and not DT actions on this
It is much easier for the administration to connect these accounts, but DT members can also act on this. However, I do agree with the move to Meta.
I do agree with OP. Making it punishable for all sides would quickly kill that market.