I did not see an event related to the internal messaging in modx. I know that I could add this by adding a simple mail function to the save message process. It is already isolated it would be very easy to just add this. But I hate to hack anything that may be updated.
I couldn’t find one either. I think you’ll have to hack the message processor and maybe add a request for an event as a suggested feature on Jira unless someone else has a better suggestion.