I figured this out for Mayday, so I thought I would post it here too.
If you go to Hello <your username> on the discussion home page, pull down the menu and select
Profile
a new page will come up with selections
Profile Info AND Modify Profile
select Modify Profile
which gives you a submenu where you need to select
Personal Messaging
this will bring up a page with some settings. Under the setting there is a Notify by email every time you receive a personal message:
Pull down the options there and select Always
Then click Change Profile on the same page.