I have the same problem: I have activated the option Forward messages to e-mail in the message center and Send me a notification every time I receive a message in my account settings under Email Preferences. I receive an e-mail every time someone sends me a message thru the message center. This is what I want. But I am also receiving an e-mail when I use the message center to reply someone: "Geocaching: dll_floppes, you have a new message from dll_floppes!". I don't need that copy, I know what I wrote to the other person.
Any solution so far to turn this off?