How do I trigger email notification for a private message?

To add, I notice someone else had asked this question previously and stated that they had not enabled this notification preference. 

Should I enable this notification:

Howdy Mihir - Yes, the Conversation Message would need to be Enabled by an Administrator for those notifications to be sent. Once Enabled, you were looking in the right place to edit one's member settings, but it's easy to miss. Go to Settings > Notifications > Activity from your network: Private Message is the last option on the list.