I apologize for this in advance -- but your thread title hit me much differently than you meant it to I'm sure. Sounds like when you are suffering from PMS, you don't get email notifications. I don't know why that would be.
I must be losing it cause I really thought that was funny.
Have you checked your settings to make sure something didn't get accidently changed? Just go into Edit Options on your User CP and make sure there is a green check mark on "Receive Email Notification of New Private Messages." If it is there, and you are not receiving the email notification, I would send a msg to Admin and see if he can figure the problem out.