Email Notifications From BuddyPress Not Going Out

My members have been telling me that they are not receiving email notifications when someone sends them a message, so we did a test tonight and sure enough, when someone sends a Private Message, it goes in the Notifications, but the person doesn't get an email to tell them to look for it.

I have checked and we have Profile -> Settings -> Email all set to Yes.

Can you please check into this for me. Support Access is granted.
Thank you.