Just tested this. I did receive a notification that I was invited to a PM. However, my notification state remained normal, so I indeed was not notified of future messages. @codinghorror, my opinion is that being invited to a PM should set my notification state to watching, and users can change that if wanted. I think defaulting to normal (and thus not easily knowing that there are more messages) is not ideal.
Edit: To emphasize, this suggestion is for message invites only. Topics are visible in /latest so it’s not a major concern. PMs are quite hidden if you’re not notified.