Hi Loki. 
There is not currently a setting for that. There are settings called email in and email in allowed groups, but these are for creating new topics via email.
If you share more details of your use case we might have an alternative for you.
The disallow reply by email after days refers to how long an email sent from your site may be replied to. The idea is that users won’t bump older conversations by replying via email, which isn’t an issue for most communities; if you’d like to disable it you may set it to 0.
It may depend on additional settings, and the user account sending the PM; for instance, admin users have the ability to send PMs to any user, as part of the warning system. Have you tried with a regular user account, on a site with reply by email enabled disabled?
Let us know where you are testing and we can check it out for you. 