You're speaking of the PM that includes:
Please do not reply to this message as this is just an automated welcome message to thank you for joining our community.
,right?
I say if they're dense enough to reply, you probably don't want to hear their pearls of wisdom.
The PM for a welcome does have a disclaimer, but other automated PMs do not. I've attached an example of the PM that a user gets sent when their subscription expires. As you can see that automated PM does not say don't reply.
Even if the PM had such a disclaimer, I have members who pay me to participate on my forum and I don't want to take an adversarial attitude with them; it's bad business. Many of my members are older folks and not always very computer savvy, so I want to make things as easy for them as I can.