When user overrides their email address in:

/message/notificationpreferences.php

then a new email is added to table mdl_user_preferences where name = 'message_processor_email_email'.

We miss this bit of personal information when user data request is created with:

/admin/tool/dataprivacy/datarequests.php

Note that this is for sites where 
Notification email override - messagingallowemailoverride

is enabled on /admin/settings.php?section=messages .