You can more or less already do this by just typing out the name of the person you intend your message to be for in the chat (an easy way to fill out a name is to type 1-2 letters and hit tab) so they get highlighted by the message. Otherwise, you can just DM them.
I still think this function would be additive to the dialogs. Just like discord also has the @ function, similar to the showdown hightlight when saying the username. Reply helps to highlight a specific snippet of a busy conversation or even highlight a comment from several of the same person. It's a subtle visual implementation (from the visual perspective), but it helps even readers to better situate themselves in the contexts.
It would still help the staff to give a more direct reply if necessary to any message that doesn't need to be deleted or /w, but that still needs to amicably warn the person to be careful with the words.
Also, not everyone likes to be receiving HL all the time with the nicks.
This would be nice for the lobby room too, for example