Hi,
That's odd. But the reason the email sends is because the private messaging system doesn't notify, on the forum itself, if you've got a new message, so the only way to know is if it's emailed to you. Remember as well, it's the forum system, and not the person themselves, getting your email address, so you are safe on that front. However, I do agree that it is odd that the notification itself isn't turning off. It's something I can definitely ask the rest of the staff about though, but note that if we do get this to work, you will literally not know if you receive a message unless you check manually.