I just checked your profile, and you have "Notify on new Private Message" selected, so you should be getting an e-mail notification. I'll send you a test PM right now to see what happens.
Chas, I am afraid that I have no idea what is going on. I just sent my normal user identity a PM as Lowest-Bidder Admin Help and I did receive an e-mail notification. I have gone through your profile as an Admin and I see nothing wrong. I regret that I am stumped.