hmmm well this isn't something I set up, but Ive just looked at the Admin screen and I can see that the PM Only group has no members associated to it. So I guess in answer to your question, clicking the 'pm only' group has the same effect as not clicking it - no additional users will receive your PM. If you select one of the other groups then you message will be received by any member of the group you selected plus whoever you put in the normal 'To' box in the top left.
Personally, I've never used the groups, I just enter the member/members I wish to message in the box at the top left.
Mega"SST" 12, MegaSTE, STE: Desktopper case, IDE interface, UltraSatan (8GB + 512Mb) + HXC floppy emulator. Plus some STE's/STFM's