I have been through everything in the board's administration settings several times and there is absolutely nothing about private message notifications.
It's actually rather confusing, since the forum over at project.aon also use PunBb yet they do! have private message notifications, but presumably something custom coded.
Unfortunately failing Richard or Sander installing another extention we don't know about currently or custom coding something from scratch there really isn't a lot we can do.
it really is rather bizarre.
With our dreaming and singing, Ceaseless and sorrowless we! The glory about us clinging Of the glorious futures we see,
Our souls with high music ringing; O men! It must ever be
That we dwell in our dreaming and singing, A little apart from ye. (Arthur O'Shaughnessy 1873.)