If you mean reply to PM thread via email (like facebook) I don’t think that feature is available in BP.
You have to bear in mind that each person’s site/host might handle mail routing differently and so I think that this would have to be a custom mod. If the BP team could do it, I’m guessing there would be a lot of user customizing to do depending on how their domains handled mail.
Thanks. Hopefully this is something that happens in a future update or plugin.