I don't seem to get alerts for replies to PM's that I have sent - but I do get them for PM's that are sent to me.
I have the option ticked for email alerts for "When you receive a new comment in a private message" but I would expect this to cause alerts to be sent in both cases - otherwise I have to tick the alerts box each time I send a PM in order to get alerts on it.
I don't seem to get alerts for replies to PM's that I have sent - but I do get them for PM's that are sent to me.
I have the option ticked for email alerts for "When you receive a new comment in a private message" but I would expect this to cause alerts to be sent in both cases - otherwise I have to tick the alerts box each time I send a PM in order to get alerts on it.