Ah, just sussed out a couple of possible reasons ...
There's an "Allow users to email me" option.
And there's a "receive newsletters option" that needs to be ticked.
Additionally since we moved servers, I haven't been receiving email notifications of new PMs.
There was an option to ignore preferences when sending newsletters, so at the risk of pissing people off (one of my areas of excellence), I may give it a second go.
To that end could someone send me the text they received in the email as there appears to be no record kept of what was sent.