What you're trying to fix isn't "the PM doesn't get sent to email", it's "the recipient doesn't see the PM." The point is that there's other ways of seeing a PM, even if it doesn't go to e-mail, which is why the no-email option exists. If people know when they have a PM, then it shouldn't matter whether they get an e-mail or not, and the sender doesn't need to know.

SO the problem to solve is to make sure people know that they may have a PM.

The reason I don't think adding a new setting can help is that, like you mentioned, a new user wouldn't necessarily realize what the settings do, and wouldn't necessarily remember later - there's already the email setting for PMs, and clearly that isn't enough.

(I think it would be nice to have a setting for who you can get PMs from, but I think that's a completely separate issue that wouldn't fix the problem of people not knowing they can get PMs at all. Unless you set "no PMs from anyone" as the default, and that would probably be a bad idea.)