Just found this out today when it happened to me.
The forum software won't put new PMs in your inbox if it's full. It puts those new messages "on hold". This means you'll get notification of a new PM but not see anything. You need to clear out some space in your inbox then click the "release held messages" link on the inbox page.
You can change this behavior in your "rules, folders, and settings" page and make it delete or file old messages as needed.
Just FYI.
