E-mail notification for visitor messages is not available by default; technically it wouldn't be too difficult to add. A problem is that spammers sometimes like to use VM to spread their spam, and this could lead to sending out tons of e-mail notifications containing spam. Alternatively, we could check to stop sending out notification mails after informing of the first unread VM notification, similarly to thread notifications. This would add complexity and I cannot promise how long it'd take to realize. But I've added it to the wishlist.