There is also an option (box to tick) in the Inbox section for you to receive an email notification of a PM, so you don't need to log on to the site to check for messages.
On another front if you reply to an advert it seems to send an email without using your email program and it's not a pm. Is there a way of seeing what you sent.
I sent someone some dimensions this way and now don't have a record of the info.