If you use the ^ then you can HALT the window BEFORE it opens instead of having it pop open and then close.

on ^*:open:?:{
  if (%PMBlock == ON) { 
    .msg $nick Your Custom Message.
    halt
  }
}

Also, For the switch you could have it appear as one entry which becomes more useful as your menu list gets longer.

menu menubar {
  PM Blocker is now $iif(%PMBlock,On,Off): $iif(%PMBlock,unset,inc) %PMBlock
}
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There is no real need to set the variable to On/Off instead just inc it for a true and unset it to create a false. Then the above code could be:

on ^*:open:?:{
  if %PMBlock {
    .msg $nick Your Custom Message.
    halt
  }
}