MyBB Community Forums

My forum showed a guest as using the PM system today.

I can't see how a guest could access PM's in any way.

Is this something to be alarmed at?

They won't be able to send/receive PMs. All it means is they were looking at /private.php at your forums.
There is no need to worry. Often you will see search engines doing this. You can disallow search engines from accessing pages they don't have permission to use by making a robots.txt file in your forums' directory.
http://community.mybboard.net/robots.txt (For an example of what this file may consist of)

They were probably seeing a "You don't have permission to access this page" error on that page.

Thanks