UNtick by default – Email me when I get new messages

You can add following code in your theme’s (child theme’s if any) functions.php

add_filter( 'fep_get_user_option', function( $value, $option, $default, $userid, $is_default  ){
	if( 'allow_emails' == $option && $is_default ){
		$value = 0;
	}
	return $value;
}, 10, 5 );

Thanks heaps, how would I hide/remove this preference?

To remove all settings you can use https://www.shamimsplugins.com/docs/front-end-pm/customization/remove-settings-menu-button/

If you want to remove just this preference use following code

add_filter( 'fep_form_fields', function( $fields ){
	unset( $fields['allow_emails'] );
	return $fields;
});