The web interface doesn't yet provide a way to add them later either, but identi.ca users have had e-mail addresses set since the migration from StatusNet to Pump.io, because those addresses were already configured in the StatusNet interface.
So basically the problem is that users of other servers can't set an e-mail, and users of identi.ca can't change their e-mail to a new one. Until now =)
Now the development version of Dianara supports setting your e-mail from the profile editor.
E-mail activity notificacions are not the greatest thing in the world at the moment (they're more useful if people use titles in posts, actually!), but they can be useful, plus having the possibility of password recovery is always nice ;)
This feature has not been very widely tested yet, but I've personally changed this account's e-mail, and set a new one in my other test account @microca.st, without any issues.
Thanks to @Laura Arjona for encouraging me to look into this again! I hope it helps!
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“Oh, wow. I need to take a look at how to do this for Pumpa.”
If you want I can give you some pointers directly. It basically boils down to creating a basic JSON with "nickname", "email" and "password" fields, and PUTting it (POST might work) to your /api/user/yourusername =)