I actually enjoy the suspense of not knowing who has nuzzled me. (even if it kills me)
I take it as a light-hearted, but thoughtful gesture- a little, encouraging nudge in the right direction.
I'd rather not get PMed when you get nuzzled. I think when you're minding your own way through the forums, and you notice that you've been nuzzled, it's just kind of like, "Oh." My day just got a little brighter, you know?