You should get an automatic email alert when you have a PM. I don't know of a reason why you wouldn't. If this is a problem, let us know and we'll investigate further with tech.
When ever I get a PM I always get a message in my inbox to alert me,it goes on the lines of ????? has sent you a message,you can access it from in box or on the site page.
Bloomin' heck! I didn't know this either, and I've found messages going back to last November!! Thanks for the alert JO4 If anyone receives a seemingly-random email from me, it will be in reply to one you sent me months ago
When I have had messages in my inbox, I have had an emails to alert me to them. Didn't you get any? I am not sure if you have sign up for the emails separately or not. I can't remember.It might be worth checking.