I've searched the site quite a bit now, the general help sticky mentions Email notifications for new messages, however the official help document says nothing.. there is also, from what I can see, no option to setup email notifications regarding new messages...

can somebody clarify this for me please? is this possible?

Thanks alot in advance!

There isn't an option to get an email notification of new PM's/post's

Its been suggested as a site suggestion & denied

It would overwhelm your email anyways, PM's tend to stack up pretty quick!