That is correct.
uddeIM protects a users email address, so this address is never used in email notifications (note that it is a notification of the incoming PM only).
Earlier versions of uddeIM used the address of the site admin as sender address only but some people where careless and replied to such an notification, so the admin got the message.
Current versions of uddeIM add a reply-to with the address of the recipient(!), so when the recipient tries to send a reply he will receive the reply and knows that something was wrong.
uddeIM & uddePF Development
CB Language Workgroup
CB 3rd Party Developer