I thought that option just meant a new window opened when you received a PM, not that you were notified by e-mail. For as long as I've been posting I'm sure that option's been checked, and I've always received a pop-up. I'm pretty certain I haven't screwed with those settings, I usually leave them as-is.
OK OK OK. Well in my defence the last time the board had aids, everyone was told to uncheck that crap, so I didn't do it. Check your options, I bet it automatically happened to you, too!