You can disable the email notice of PM's in the UserCP -> Edit Options->Private Messaging->Receive Email Notification of New Private Messages
I do monitor these to check for bounces and unsubscribes after I send them out. The unsubscribe rate is around 0.01% telling me that the majority does not mind them. I try to never do force PM's or emails to those that have unsubscribed unless it really is that important that all should know, like the site blowing up.
