In Moodle 3.7 and 3.8 installs, we've found the following bug / issue:

When reviewing a user's messaging preferences through Site admin > Users > Users > List, selecting a specific user and opening his/her Preferences from the profile (see screenshot), an error is thrown:

'Sorry, the requested file could not be found', referring to a file 'message/message_preferences' that seems to be missing from the Messaging component.

The current only way to review a user's messaging preferences is by logging in as that user and opening the preferences from his/her user menu > Messaging preferences, which slides out the preferences part of the Messaging pane.