I see how it could be confusing, although there is a distinction:
“Send me an email when someone quotes me, replies to my post, mentions my @username, or invites me to a topic”
It says topic, while in:
“Send me an email when someone messages me”
It says message. In Discourse, message implies private message, while a topic is shared with a wider audience.
I’m not sure if this is something we could change in Discourse at the moment, as it would require updating all the translations, and I don’t think many users have had an issue. But something you could do in your community is changing that text in the customize section of your admin page. You’ll have to consider how translations will be affected, though.