I had that setting set already.  The messages just never appear.  The activity log says:
Non-member btv1==95375442671==aaa@... attempted to send message "XXXX" and the message was rejected because it was determined to be spam, via email

I changed the address here to protect the identity, and the subject line had a real one.
Why is it still rejecting a message when I am allowing nonmembers to post?