It says I have a "New Message" but when I click on it nothing is actually their. I deleted all previous messages but that didn't help so I thought I should say something about it.
I've received a message within the past couple days and I don't have this problem. But I don't delete my messages like you guys do so maybe thats the problem? My guess is you need to keep the message around long enough for the server to acknowledge that you have "read" it and its no longer in a bold color then try deleting it.
I never delete messages. Now, it seems to work but a while back, I got the exact reverse problem: Not showing a "New Message" notification although I had messages...