My experience is similar. I got an email last night 10/30/2012 at about 10:30 (hotmail timestamp - don't know how to translate) letting me know I had a PM. However, today I have had at least one new PM, with no corresponding email alerting me to that fact.
I don't know if it will help troubleshoot, but I have NEVER received an email letting me know of a new post in a thread I had posted in. I assume that is because I have disabled that toggle, but I don't remember, and don't want to check.
Theory - I know you have the power to do this anyway, but I am not offended if you check my account for anything that may help you get to the bottom of this.