Currently attachment removal works as follows:
1. Add Private Messaging portlet to your Dashboard.
2. Attach a file when creating a new message.
3. Click on Choose file.
4. Click on Cancel to remove the file.
This is the only way to remove an attached file. The customer would like to see an intuitive way to remove the attached files in Private Messaging portlet. (e.g.: a Remove button next to the attached file.)