My settings are:
Receive forum newsletters, announcements and important notifications by email. ☒
Turn notification on when you post or reply to a topic.☐
When sending notification of a reply to a topic, send the post in the email (but please don't reply to these emails.) ☐
For topics and boards I've requested notification on, notify me: Instantly
For topics and boards I've requested notification on, notify me of: Only Replies
Below those settings are a bunch of topics I should get an e-mail about when there has been a reply posted, but that, together with no e-mail about a PM, did not happen.
I have saved the settings, I have unticked the first box and changed them back to how they were, I have done it all.
Edit
My PM settings (which I did not touch or alter in any way) are as follows:
Notify by email every time you receive a personal message: Always