Every time a user gets a PM, they are emailed that they received a new message and from whom. Keep in mind that you must have a good email address in your profile otherwise you will not get the notification. It is all done privately so it doesn't matter whether you display your email or not. As long as the email is good, you will be notified.
Even eminent chartered accountants are known, in their capacity as fishermen, blissfully to ignore differences between seven and ten inches, half a pound and two pounds, three fish and a dozen fish. ~ William Sherwood Fox, Silken Lines and Silver Hooks, 1954