I have replied to your PM Ian
I have email notification switched on in my settings, so get a notification email when people PM.

I have to say it would be nice to have a inbox new message indicator in the Welcome box (just below the search section top right). That said I rarely PM and tend to email.

Also for speed I often leave myself logged in on the site, so a green circle may show in the threads and I can be miles away from the keyboard.