I clicked the green PM notification on my avatar, which is how we assume people generally find it.
Ah yeah – that’s the issue. That is bypassing the logic that allows people to respond to but not start a PM. I’d change that up on your About page to say something like “New users can get an interactive walk-through of forum features by clicking on the green notification on their avatar when they join” or similar. Alternatively, remove it altogether because the new user tips will guide them there automatically.