mmmm .... odd. I don't know. I do see your pm's listed in the db, so they're not gone. Maybe try logging out and back in? Or for test's sake, another browser? If you get the same there then perhaps I need to look further.
wait, before i confuse myself. Is the problem just the notification? I looked at the "Inbox (0 Messages)" thingy and thought that was the problem. Like your messages would be missing?