They're typically going to be quite careful about that. Blackmail is only effective if you are willing to release the information, which is hard to do without outing yourself as a blackmailer. That applies not just to MI5 but to anyone else who has access to your confidential information. And it's GCHQ who are reading your pm's, by the way, not MI5, although GHCQ will pass information on to MI5, MI6 or DIS, as appropriate.
By the way, if you are of interest to them then they can connect your E-I username with your real name. There is no anonymity as far as they are concerned.