OK! I've done some more testing.
I know the mailing system on the board works because my testing username (snagalat) gets an email when I send a PM.
So - I checked individual preferences and the only difference I found between snagalat and Wolvy and thegrindre is that snagalat has a tick mark in the box named 'Notify me of replies by default' under the 'Edit posting defaults' heading in the 'Board preferences' section, whereas Wolvy and thegrindre don't.
That's the only thing I can find that might be the cause of you two not getting email notifications of PM's.
This will, of course, start sending you emails notifying you about replies to threads, If you don't want that you can go to your Control Panel and under 'Manage Subscriptions', down at the bottom-right, find 'Mark All' which will mark all the topics shown. Then above the 'Mark All' click on 'Unwatch Marked'.
That should unsubscribe you to all threads and stop any emails notifying you about new posts.
Also note that at the very bottom-left of the thread you're posting in there are three links; Board index, Unsubscribe topic, and Bookmark topic. After replying to a post you might want to click on the 'Unsubscribe topic' link.
Edit 1: After unscribing to all topics I see now that the second link in the series of links mentioned above (Board index, Unsubscribe topic, and Bookmark topic) changes in that the middle link changes to 'Subscribe topic'.
I guess you click on that link if you want to subscribe to a topic and then get emails about replies.