When receiving an email notification of a new PM the link in the email takes the user to the inbox. IMO this doesn't follow what's being done elsewhere in phpBB. For instance when I'm subscribed to a forum I get a link to the new topic in the email, not a link to the forum. Another example: notification of a new post contains a link that takes you to the actual post not the beginning of the topic.

Plus the PM notification email itself says:

You can view your new message by clicking on the following link:

which is not really accurate. I expect the link to take me to the message itself when I read this.