Seriously. Getting PMed by someone then trying to respond and getting "this player is rejecting incoming PMs!" is one of the most annoying things ever. Should disable sending PMs too!
If the person PM-ing is on 2.0.10 or higher than this shouldn't be a problem iirc. Coyo made it so that if you start a PM with someone whilst you have reject PMs on, they can still PM you back. If you're still getting that message after they PM you, then that person needs to update (not you).