I've checked all the admin settings, if we had this capability it'd already be up but if it is an extention it's not one we've got installed at the moment.
It is rather odd, the punbb setup over on project.aon.com do have the capability to private message notifications, it's sort of odd that there isn't anything for it here.
As usual that sort of change is up to Sander and Richard.
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.)