Subscriptions to a thread and getting an email notification when you receive a private message are two different things. I've never subscribed to a thread but just had a look at it all in the FAQ.
http://neurotalk.psychcentral.com/fa..._subscriptions

btw I just sent you a TEST private message.

[edited to add: I decided to subscribe to this thread up in Thread Tools above the thread and clicked on the Notification / Instant for email notification so will see what happens.
I also had to change a setting in UserCP/Edit Options/Messaging and Notification.
Then I had to SAVE Changes at the bottom of the page.
If it's not saved it will go back to default setting which is Do Not Subscribe.]