You can do it by default:
your-site/messages/inbox/username
your-site/messages/sent/username
Using the Login As plugin bundled with Elgg you can switch the user when logged in as admin and then view the site as you would be logged in by that user. You would also be able to access the inbox of that user then. Switching the user happens not secretly though. On the site it appears as this other user is really logged in.
If the Login As plugin is not an option, you would have to do it like RvR suggested by entering the corresponding url directly in the browser.
info@elgg.org
Security issues should be reported to security@elgg.org!
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