You may wish to call again. I do have a document titled "Your Privacy Choices - IMPORTANT INFORMATION" in my Document Center.
I don't have any documents in the document center, hence the concern. The header and return address also were "off" in comparison to a legit Citi email. I did call the internet fraud center in addition to the general CS #. They said the spoofs look incredibly similar to the real emails, and they'll let me know further when they look at the email itself.