Two reasons we did this.
If you reply to a private message email notification instead of the actual online PM, (which many do daily) the reply comes back to the admin email inbox and because we feel it is our duty to advise you that your message will never be read by the person you intended it for, we try to reply back to the email stating: "This isnt for me is it! etc..."
I then receive a second reply back either stating "how the hell did you get hold of my private messages, private should mean private!! which sometimes I try to explain it is infact their mistake or sometimes I simply get a thank you message, either way it's two messages for a PM that was never intended for me in the first place, add a small multiplier for the amount of PM's we send out daily, thats a big job somedays.
Secondly, the fact that message tracking is rendered useless if you read the PM in an email. I will also will miss this feature but I will certainly not miss the extra emails and grief but the up side is it is always great to know that your message was received especially if it was important..
I hope you understand because