You've got mail!
What appears to be happening is when that error message displays, the email notification to the other addressess in the PM doesn't seem to go out but the PM contents do get posted into the site's datastore.
You know, the email from sales@cruzbike.com with subject New private message at cruzbike.com . This email notice doesn't always seem to get to me when someone sends me a PM as I would sometimes find I have PMs waiting that I didn't get a notice for.
So now I've made a habit of periodically clicking on the top right number thingy on the web page. For example, mine right now is showing 18 / 7 with the overlapping people outline next to it. This takes you to cruzbike.com/user with results being displayed based on if you are logged in or not. If you are logged in you can then go to the MY Messages section and then click on Inbox messages and check to see if there are any " New " flags.
-Eric