I think sending PM's to user getting a request sort of defeats the purpose of the request link in overall_header. on the other hand, it does allow to receive an email about the request ( if checked in ucp ). maybe an ACP/UCP choice on that?
For the user sending request, a simple confirmation that his requset has been sent...
he will see his "new/recent friends" somewhere on profile or UCP ( im assuming here.. ) if
there is an approval from the other side.
I say not necessary for PM's on getting rejected the 1st first time tho. it may be a bit blunt
Besides, if the user doesn't 'get the hint', there is the handy block feature.