Mike I can see what the issue is.
This setting needs a configuration as to who the PM confirmation sender is. Currently it is either defaulting to using the User themself, or it is grabbing the setting from the Forum Topic section where it asks if you want to 'Create own Topic'.
I checked my PM inbox today and indeed it sent me a PM, however because it is using myself as the PM sender this prevents IPS from sending a notification on the usernav, or making the notification bar pop up to say that I have a new PM.
So if you could add a box which allows us to choose who the PM sender is for 'Confirm PM', that would be great.