Here is the message that is given to me, when someone sends me a PM:
nick ~firstname.lastname@example.org is messaging you, and you have umode +g.
Here is the message from the debug window:
<- :irc.oink.me.uk 718 myname nick ~email@example.com :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).