So just now my PM count was at 99, I refreshed every so often, staying on the main page and watching the number. Eventually I decided to check the actual PM page and saw that I had a new PM even though the counter was still at 99. I clicked through to the new message but noted that the counter was still at 99. I went back to the main page then back to the message, still at 99. I then replied to the PM and checked the number again, which is now at 101.

So it looks like the number only updates when you respond to a message but not when receiving one.

EDIT: Just actually tested it. I received a message and my count stayed at 101. Then the person who replied edited the post and it's still at 101.