Private message alerts

I use to get an email when I had a private message if I remember right. It doesn’t do that anymore and I have to log into the site to see if I have any messages. I looked for a setting for this but couldn’t find one? Is this still an option?

Belay my last… sort of… I found the setting to get emails when you have private messages but the box to receive notices was already checked and yet I still haven’t been?