Adding notes on this to the user welcome messaging is a very good suggestion!
I already have the forum send a welcome email to new users, but I'd never taken the time to edit it. I've updated it to include a link to the forum guidelines and a special note about the PM system. I also added the welcome PM as whiteflags suggested, with links to several resources as well as a second explanation of the PM system.
Would you be so kind as to send me a copy of the "welcome" PM... thanks (just curiosity...)