My bad. It was an email sent through ODT not a PM. I just realized that you can select the user name and choose to send an email. Didn't know you could do that.
I received an email notification that I received a PM and could read the message in the email, but when I went to my Inbox to reply it was not there. I checked and I'm at 50% of capacity for total messages. Any other ideas why it's not showing up??