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Facebook private messages email notifications
I don't see this option either. Apparently some users have different options than others. You can read more in the comments on this response: webapps.stackexchange.com/a/22198/30406
How to receive email notification on about new Facebook messages?
I can confirm that this is also not an option with my account. "Messages" is nowhere to be found in the "You've unsubscribed from emails about" list. Related note: Your image shows four items in the list, with a "See all 69" link. Mine shows four items, with a "See all 67" link. Clearly Facebook is preventing some users from changing this Messages setting (and one other setting too apparently). Bizarre.