What Ade says is indeed an important step I believe and necessary. Otherwise you end up with two different private message systems, and that is not only redundant but also confusing.
Second I would say when someone applies you should have a button to send this person a private message directly, without having to go the tedious way of doing it manually.
You should then, at a later point be able to return and accept or deny the application. (Having the option to "Not now" the application when you first view it)
The same way a player should have the option to send the GM a private message easily to ask about the campaign - however I guess that could work by sending a join request with the question, and the GM answering. But again, if you're already working on the PM stuff, you should add this.