You have all probably received an email recently saying you had a private message waiting. You can safely ignore it. I had erroneously set all accounts to "receive system emails".
My mistake was in believing that this setting was necessary to receive notifications from the forums. It is instead to notify administrators that a new article (in this case, Murray's SC Report) had been posted to the front page and was ready for viewing.
I've since gone through and corrected that setting for everyone.