Initially detected on TDWTF but repro here.
Profile:
PM list:
Didn’t have a browser open here at all between flagging and coming back to check.
Have only noticed this on TDWTF since beta 4 but may have been more recent than that.
More examples which show the inconsistency here:
What is your tracking status on that PM ?
If it helps, it’s not just flag PMs. See the link above.
I was in a PM thread where I got no notification for the OP or the first reply, then I made the second reply, then got a notification for the third.
Note that if you add people to a PM after the fact it will not work right since that person is (incorrectly) added with a state of tracking instead of watching. This is a known issue.
Also the first post here is not clear to me. What are the exact repro steps?
For those - it was just flag a post. When @sam dealt with it and the response was sent in a PM, there was no notification.
As for repro around actual PM threads started by users manually - I’m not sure, there doesn’t seem to be any real consistency there.
Oh I see, so the automatic flag handling responses, which post standard replies to the “flag as PM” topics based on the button the mod/admin clicks to deal with the flag, are not generating notifications. I agree, something for @zogstrip to look at.
Thanks @loopback0 for reporting that issue. I just pushed a fix 
https://github.com/discourse/discourse/commit/eec1921ba9a99198d64ede4c7ddfed85505cb45b
