When you receive Private Messages, you should also receive an email. I modified the forum so the private message is actually contained within the email. Before I installed the mod, you would just get an email saying, "You have a new private message, please click here to log in."
The reason I did it was because when I was in college, I browsed this forum during my lunch breaks and eventually, it got blocked. So if I received a PM, I could just sign into my inbox and read my message (although I couldn't reply to it).
Do you find this a useful feature, or would you prefer to just get an email saying, "You have a new private message, please click here to log in."?