When I sent a private message to myself it showed 1 new message on top of the screen.
After I opened it it still showed that 1 on top and it really seems like I had gotten a new message. I know that next to it says total pm count, but it keeps screaming new message in my head. Is this going to be changed or are you going to add something else to show a new message alert?

This has been discussed in a few threads so far. Right now it's just a message counter but there's a read/unread feature on the way.