The option is there. I just can't remember where in the policy it is to turn it on. It will create 1 CSV file per day (version 5.0) of all the BBM messages along with SMS and PIN messages if you turn that on. With 4.1 I believe that the BB device will send an email to a pre-determined e-mail address defined in the BlackBerry Messenger policy. Note that this email is able to be seen by the end user. With 5.0 there is a setting that logs all of this to a csv file. I'm running 5.0.
Below is the header from the CSV file with the columns that you get.
"Name.ID,"Type","Sender","Receiver","Time","Text", "Description","Server Log Date","Command","UID"
Check out -> What does BES see; what can be tracked/logged? - Port3101.org : Your BES Connection