I don't think that you are the first to ask for this. Somehow, I recall seeing this request either in the Tracker system or as a proposed project in the Moodle Users Group.
I believe that if you want to give some private feedback, right now you can go to the grade book, single item view, and make comments there. But I think you prefer to give feedback right when you are grading a post (right?).
As an idea of how this could be implemented, right in the bottom right where we see:
Permalink | Show parent | Edit | Split | Delete | Reply
this could show as
Permalink | Show parent | Edit | Split | Delete | Private Reply | Reply
Of course, since I am not a programmer it is easy for me to say this, but harder to do.
I just looked and found some discussion in moodle.org. In a Google search, I typed "moodle private reply to forum post."