I just found a Personal Message in My Messages that had been languishing there unread for several weeks (I've replied now, Rob

).
I thought to myself, wouldn't it be nice if the board told me rather more obviously that there was a message waiting. After a bit of digging, it appears that it can!
So, for other like me who only use the Personal Message feature rarely, you may be interested to know that:
Select Profile, then Personal Message options. There is a checkbox to "Show a popup when you receive new messages?". There is also a drop down box to "Notify by email every time you receive a personal message:", which you can set to "always".
HTH
Mark