Oh I'd really like the option too, if enough people feel similarly.
When you receive a private message, do you want to be notified via email?
If yes, do you want to receive the full text of the private message within the notification?
I hate editing a PM only to realise that they've received the whole text as it was initially written. I love to edit! Also, some people keep their email open all day, so if they step away from their desks in an office environment, they have a privacy concern that can only be eliminated by choosing to not know if they've received a PM.