I think that's an automatic notification generated by the Classifieds section, which is actually it's own site (fiberglassclassifieds.com). It's not for PMs received via the forums.
If you click the Classifieds link up top, it actually takes you to a different website. Even if you never signed up for an account there, your username and password from the forums are linked there. Log in, click on your username to open the drop down menu, click on "Direct Messages," and you should see something.
I agree that it is an odd looking email. Always best to avoid links you believe to be suspicious. I got the same e-mail a few months ago and I was equally suspicious. I didn't trust it until I went through the process explained above to verify that I had a message via the classifieds site.