There are two places where you should see notification, currently. On the homepage, you should see "You have X new message(s)" appear under your profile information.
You should also see an indicator on your profile page over the messages tab.
I think that I have been getting mine as well.
I don't think that that I would know if I ever received a private message if I did not receiving emails for them, unless there is some notification that pop-ups or appears on the forums when we get a private message? Or would we just have to know if we did not use the email?