With how it's set up so newly received pm's are hidden in the drop down menu, pm's can sit there unnoticed. Considering how long it's been since I've sent some out, I think other people have gotten some and not realized it as well.
Could it be made so pm's are added to the number notifications in the top right corner of the page the same way that getting a — does, so it's immediately apparent you have one rather than it being hidden? Or some manner like how it was previously.