Try editing the pm_newpm template. Find:
Code:
<if condition="$show['trackpm']"><div><label for="cb_receipt"><input type="checkbox" name="receipt" value="1" id="cb_receipt" $checked[receipt] />$vbphrase[request_receipt_for_message]</label></div></if>
Replace with:
Code:
<if condition="$show['trackpm']"><div><label for="cb_receipt"><input type="checkbox" name="receipt" value="1" id="cb_receipt" checked="checked" />$vbphrase[request_receipt_for_message]</label></div></if>
Untested, but then it should always be checked.