Here is the message that is given to me, when someone sends me a PM:

nick ~name@hostmask.isp.net is messaging you, and you have umode +g.

Here is the message from the debug window:

<- :irc.oink.me.uk 718 myname nick ~name@hostmask.isp.net :is messaging you, and you have umode +

If it makes it any clearer, this is the message the sender of the PM gets:

myname is in +g mode (server-side ignore.)
myname has been informed that you messaged them.

These messages only appear in the status/server window, even when I can get every other message in the active channel (whois, nickserv and chanserv info, etc).