I have to admit I've had some freaky things happening with PMs too. None of them make any sense, and they aren't reproducible at will.
1. Sometimes, for absolutely no reason that I can figure out, some people just don't get a PM that's been sent to them. I've only seen this happen about four times - one of those times it was me who sent the PM. When looking at the Participants, only I'm on the list. Weird ...
2. This is not something I would expect any help with, and it's not a big enough deal anyway - but it's a symptom of a mod my husband did. He made it so that when a user activates PM notifications, they get the entire body of the PM sent to them, as well as PMs they have sent. The weird thing is, I sometimes get PM notifications (and the body) of PMs other people have sent to other people - NOT to me. That's freaky.
Mentioning it for what it's worth - neither of them is a big issue for me.
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My UBB