Is there a setting for this that i'm just not finding? You know, like the notifications you get for subscribed threads and PMs?

 

Until someone pipes in and just a shot in the dark...

1. Goto: UserCP
2. Goto: Edit Options
3. Goto: Messaging & Notification
4. Goto: Receive Email < - are they all checked?

Also - Goto: Default Thread Subscription Mode and make sure it says "instant email notification."

Also - Goto: Private Messagin and make sure you have Enable Private Messaging, Receive Email Notification of New Private Messages and Show New Private Message Notification Pop-up checked.

One of those puppies might help!